本研究探討交易時間偏好、意見分歧程度與隔夜效應之間的關係，並將隔夜報酬拆解為理性與非理性情緒，分析情緒在隔夜效應影響下的特徵。有別於過去文獻認為散戶與法人分別偏好於開盤及收盤交易，導致開盤價過度反應，造成隔夜報酬與日內報酬負相關的隔夜效應，本研究發現散戶與法人皆集中在開盤且看法一致時有更大的隔夜效應，散戶與法人分別偏好於開盤及收盤交易時，還須達到看法相異的條件才會造成隔夜效應。投資人日內委託單失衡及日內交易比重是本研究分析的依據。Aboody et al.(2018)以隔夜報酬衡量投資人情緒，本研究認為隔夜報酬應含對隔夜資訊的理性及過度反應，並嘗試從隔夜報酬中分離出非理性情緒。最後，本研究分析理性與非理性情緒在隔夜效應影響下的特徵，以此特徵建構投資策略並與隔夜報酬策略做比較。本研究是首篇嘗試以交易時間偏好及意見分歧程度解釋隔夜效應並衡量理性與非理性情緒的文章。

This study investigates the relations among trading time preference, opinion divergence and overnight effect, and attempts to decomposition of overnight returns to rational and irrational sentiment, and analyzes the characteristics of sentiment in different overnight effect. Different from past literature that argues individuals prefer to trade at market open while institutional prefer to trade at market close considers the main cause for negative correlation between overnight returns and intraday returns, the so called overnight effect is opening prices over-reacted. We found that both individuals and institutional prefer to trade at market open will cause severer overnight effect than preferring to trade at different time. Investors’ intraday order imbalance and percent of trading are the basis for our argument. Aboody et al. (2018) uses overnight returns to measure sentiment. In this study, we argue overnight returns combine both overreaction and information components. Therefore, we attempt to separate the two components and analyzes the characteristics of sentiment in different overnight effect. Portfolio performance based on the separated irrational sentiment component is compared with that of Aboody et al. (2018). This paper is the first to explain negative overnight-intraday return relation from investors’ order imbalance and time preference.

目錄
論文審定書...........................................................i
誌謝......................................................................ii
摘要......................................................................iii
Abstract...............................................................iv
目錄......................................................................v
圖次......................................................................ix
表次.....................................................................xii
一、前言..............................................................1
1.1研究背景與動機.............................................1
1.2 研究目的 ......................................................4
1.3 研究貢獻 ......................................................4
二、文獻回顧......................................................5
2.1隔夜效應 ......................................................5
2.2散戶與法人的意見分歧程度 ........................6
2.3情緒影響與情緒衡量.....................................8
2.4 隔夜報酬衡量情緒 ......................................10
2.5理性情緒與非理性情緒 ..............................11
三、研究方法....................................................12
3.1 研究期間與資料..........................................12
3.2 報酬率定義..................................................13
3.3投資人交易時間偏好...................................14
3.4投資人意見分歧程度...................................18
3.5隔夜效應......................................................20
3.5.1 皮爾遜積矩相關係數...............................21
3.5.2 Fama-MacBeth Regression....................21
3.5.3 多元迴歸分析..........................................21
3.6 投資人情緒.................................................21
3.6.1理性情緒..................................................22
3.7 理性與非理性情緒拆解 .............................24
3.8 檢驗情緒特徵 ............................................24
四、研究假說...................................................26
4.1造成隔夜效應的原因..................................26
4.2情緒與報酬的關係......................................28
五、敘述統計...................................................29
5.1交易時間偏好.............................................29
5.1.1 投資人日內成交量分布..........................29
5.1.2 投資人驅動開盤價程度..........................32
5.1.3 交易時間偏好與隔夜效應之關聯...........34
5.1.4 散戶開盤驅動程度與隔夜效應之關聯....36
5.1.5散戶交易偏好與法人交易偏好之關聯.....36
5.1.6開、收盤交易偏好與隔夜效應之關聯.....37
5.1.7投資人看法在各開、收盤交易偏好下與隔夜效應之關聯...38
5.2 意見分歧程度 .............................................39
5.2.1 投資人日內委託量分布...........................39
5.2.2投資人日內意見分歧程度 ......................41
5.2.3散戶與法人日內分期程度之關聯.............46
5.2.4 投資人驅動收盤價程度...........................51
5.3 法人日內OIB與報酬之關聯........................52
5.3.1 法人開、收盤OIB與隔夜報酬之關聯......52
5.3.2 法人開、收盤OIB與日內報酬之關聯......53
5.3.3 法人開、收盤OIB與未來周報酬之關聯..53
4.3.4 法人開、收盤OIB與未來月報酬之關聯..54
5.4隔夜報酬......................................................54
5.4.1 隔夜報酬短期持續性...............................55
5.4.2 隔夜報酬與短期績效之關聯...................55
5.4.3 隔夜報酬與長期績效之關聯...................56
5.5理性情緒變數..............................................56
5.5.1 總體經濟面PCA結果...............................56
5.5.2 隔夜資訊面與未來報酬之關聯...............58
5.5.3 法人看法面與未來報酬之關聯...............59
六、實證結果...................................................61
6.1隔夜效應之驗證..........................................61
6.1.1交易時間偏好與隔夜效應關係................64
6.1.2意見分歧程度與隔夜效應關係................64
6.1.3 散戶與法人意見分歧程度差異與隔夜效應的關係 ...65
6.1.4 散戶與法人交易時間偏好差異與看法Dummy,i,T與隔夜效應的關係 ...65
6.2 理性與非理性情緒......................................66
6.2.1非理性情緒的持續性................................67
6.2.2 理性與非理性情緒和未來報酬之關係....67
6.3 理性與非理性情緒和隔夜效應之關係.......69
6.3.1 隔夜效應強、弱下，理性情緒和報酬率的關係....70
6.3.2 隔夜效應強、弱下，非理性情緒和報酬率的關係 ....70
6.3.3 隔夜效應強、弱下，理性與非理性情緒對報酬率影響的顯著性....71
6.4 以理性及非理性情緒建構策略...................72
七、結論...........................................................75
八、參考文獻...................................................77

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