台灣證券市場散戶投資人存活研究

• Main Author: 彭心玉
• Language: 中文
• Published: 國立政治大學
• Subjects: 散戶; 存活; 台灣證券市場
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0093357035%22.

台灣的證券市場中，散戶投資人佔高達八成的比例，其在市場的參與程度影響證券市場的發展；本研究針對自民國七十九年市場崩盤後，散戶投資人繼續參與市場或離開市場的情況進行長達15年的追蹤分析。 研究發現民國79年2月12日的崩盤跌幅雖然曾高達83%，但是離開市場的比例並不大，高達九成的人在後續的年度仍然繼續進出市場，且其交易次數與平均交易金額都逐漸增強，顯示持續積極參與市場外，也是市場主要的穩定投資人；在分析中可以發現，不論在交易金額或交易次數的分析上，樣本群在市場崩盤後的各波段交易上，反應程度都比整體大盤投資人大。 對存活者、非存活者在崩盤前的交易次數、交易金額分析中，發現存活者為平均交易次數、金額較高者，但是變異數很大，且崩盤後後續交易記錄也顯示存活者群中，存在高交易次數、低單次交易金額與低交易次數、高單次金額兩類，與台灣證券市場散戶實證研究中，周轉率與報酬率呈U型分配，交易次數特別高及特別低的兩群樣本投資人，可能報酬較佳，所以得以存活於市場的情況相呼應。 === 80% investors in Taiwan Stock Market are individual investors. In that, their participations have great impacts to the stock market prosperity. This research focuses on the market crash which has happened since 1990 and tracks the individual investors’ trading activities of the following fifteen years. In research we found that, although the market index has decreased 83% since Feb.12, 1990, there are 90% individual investors remained trading in the market. Besides, we found the individual investors who keep trading (the survivor) increase both in their trading frequency and in trading amount which shows the survivors play an important role in the stock market during the following years. In further analysis, we also found the survivors had greater responses to the rises and falls of the stock market than total market individual investors’ average. When we analyze the survivors’ pre-crash characters, which showed survivors were those who had greater average trading frequency and average trading volume. Besides, there also existed big variances in the survivor group. Both evidences showed there existed survivors who were high trading frequency with low trading volume and those who were low trading frequency with high trading volume. These proved the prior research evidence of individual investors’ character that the return and trading frequency distribute as U shape in Taiwan stock market. Investors in highest trading frequency group and lowest trading frequency group could get better return to survive.