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題名：台灣股票市場隔夜報酬的實證研究
作者：張航
作者(外文)：Hang Zhang
校院名稱：國立中山大學
系所名稱：財務管理學系研究所
指導教授：蔡維哲
學位類別：博士
出版日期：2020
主題關鍵詞：投資人交易行爲；情緒代理變數；散戶投資人；隔夜報酬；investors’ trading behavior；sentiment proxy；overnight returns；retail investors
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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.
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