本文探討了台灣股票之隔夜報酬是否具有作為情緒代理變數的特徵，以及不同類型投資人的交易行為與隔夜報酬之間的相互關係。我們發現不同隔夜報酬水準下所形成的投資組合具有短期隔夜報酬持續性和長期報酬逆轉性，這與其他文獻的研究結果一致，即投資者情緒將導致價格偏離經濟基本面。此外，我們發現隔夜回報率作為衡量情緒的指標主要反映了散戶在市場開盤後的情緒。 散戶投資人被認為是受到情緒驅動的“雜訊”交易者，但機構投資者交易量占比，特別是外資的交易量占比對隔夜報酬的影響是負向的，説明他們的交易行爲更爲理性。

This paper explores whether the overnight returns in the Taiwan stock market have the features of sentiment proxy and how the trading behaviors of different investors interact with these returns. We document the existence of short-run overnight return persistence and long-term return reversals of portfolios formed by different levels of overnight returns, which run in line with the findings of other studies in that investors’ sentiment causes a deviation in prices from their underlying economic fundamentals. Moreover, we find that overnight return as a sentiment proxy primarily captures the sentiment of retail investors at market open. Individual investors are considered as sentiment-driven “noise” traders. However, the trading volume ratio of institutional investors, especially foreign investors, have a negative impact on overnight returns, indicating their trading behavior is more rational compared to individuals.

論文審定書 i
謝辭 ii
中文摘要 iii
英文摘要 iv
1. INTRODUCTION 1
2. LITERATURE REVIEW AND HYPOTHESIS DEVELOPMENT 4
2.1 Overnight Returns and Firm-Specific Investor Sentiment 5
2.2 Interaction between Different Traders’ Behavior and Overnight Returns 6
3. SAMPLE, VARIABLE DEFINITIONS, AND DESCRIPTIVE STATISTICS 8
3.1 Sample and Variable Definitions 8
3.2 Descriptive Statistics 11
4. OVERNIGHT RETURNS AND FIRM-SPECIFIC INVESTOR SENTIMENT 12
4.1 Short-Term Overnight Return Persistence Puzzle 12
4.1.1 Short-Run Persistence of Weekly Overnight Returns and Subsequent Weeks’ Total Returns 13
4.1.2 Variables of Firm Characteristics 14
4.1.3 Hard-to-Value Proxy and the Level of Institutional Ownership 16
4.2 Long-Term Return Reversals 19
5. THE INTERACTION BETWEEN DIFFERENT TRADERS’ BEHAVIOR AND SENTIMENT PROXY 21
5.1 Different Investors’ Sentiment after the Market Opens 22
5.2 Individual Trading Ratio to Proxy for Individual Investor Attention 24
5.3 Fama-MacBeth Regression 26
6. ROBUSTNESS TESTS 28
6.1 Descriptive Statistics of Trading Volume for Different Trader Types 29
6.2 Short-Run Persistence of Weekly Overnight Returns Calculated over the Week Started on Wednesday 29
6.3 Sentiment of More Types of Investors after Market Opens 30
6.4 The Impact of Policy Changes in Taiwan Stock Market 32
6.4.1 Impact of Halving Transaction Tax in 2017 33
6.4.2 Change in Stock Price Fluctuation Limits in 2015 34
7. SUMMARY AND CONCLUSIONS 35
References 37

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