投資人情緒一直被認為是股票市場中的重要影響因素之一，臺灣盤中零股交易制度開放為研究投資人情緒提供了一個新的機會。本研究以零股週轉率作為散戶投資人情緒的代理變數，探討零股週轉率是否能預測股價報酬，並同時與其他投資人情緒代理變數：資券餘額比、散戶成交比重、散戶週轉率、隔夜報酬率及網路搜尋量進行比較。實證結果顯示，零股週轉率與未來報酬率呈現顯著的正向關係。但隨著持有時間加長，零股週轉率對於報酬率的影響程度會逐漸下降。零股週轉率的效果與其他投資人情緒相當，但在持有一日與三日時對於股價報酬的預測能力勝過散戶成交比重。我們也發現零股週轉率的報酬預測力與公司市值大小有關。接著本文透過零投資組合測試，發現可以利用零股週轉率、散戶週轉率、隔夜報酬率及網路搜尋量分別建立之零投資組合（買進投資人情緒高的公司，同時賣出投資人情緒低的公司）來獲得正報酬，其中零股週轉率獲得之正報酬大於資券餘額比與散戶成交比重，但次於散戶週轉率、隔夜報酬率與網路搜尋量。最後，本文使用因子模型進一步驗證以上投資策略的有效性，發現網路搜尋量僅有在日頻之因子模型可獲得異常報酬，而零股週轉率、散戶週轉率、隔夜報酬率無論在週頻或日頻之因子模型，CAPM、三因子、四因子、五因子，都得到了顯著為正的異常報酬。這意味著，在考慮更多因子的情況下，以上投資策略仍然能夠取得顯著的異常報酬，進一步證明了以上策略的有效性。本文整體的分析顯示，零股週轉率是有效的投資人情緒指標。

Investor sentiment has long been recognized as an important factor in the stock market, and the opening of the odd-lot trading system in Taiwan provides a new opportunity to study investor sentiment. This study uses odd-lot turnover rate as a proxy variable for retail investor sentiment, explores whether odd-lot turnover rate can predict stock returns, and compares it with other proxy variables of investor sentiment: financing bearing ratio, estimated proportion of retail investor transaction, estimated of retail investor turnover rate, overnight returns, and search volume index. The empirical results show that odd-lot turnover rate has a significant positive relationship with future stock returns. However, as the holding period lengthens, the impact of odd-lot turnover rate on returns gradually decreases. The effect of odd-lot turnover rate is comparable to other investor sentiment variables, but it outperforms estimated proportion of retail investor transaction ratio in predicting stock returns over one and three days. We also found that the predictive power of odd-lot turnover rate for returns is related to company size. Furthermore, using zero-investment portfolios, we found that odd-lot turnover rate, estimated of retail investor turnover rate, overnight returns, and search volume index can be used to construct profitable portfolios (buying stocks with high investor sentiment and selling stocks with low investor sentiment), with odd-lot turnover rate yielding higher returns than financing bearing ratio and estimated proportion of retail investor transaction ratio, but lower than estimated of retail investor turnover rate, overnight returns, and search volume index. At last, we used a factor model to further verify the effectiveness of the above investment strategies and found that only search volume index can obtain abnormal returns in the daily frequency factor model, while odd-lot turnover rate, estimated of retail investor turnover rate, and overnight returns can obtain significant positive abnormal returns in both the weekly and daily frequency factor models of the CAPM, three-factor, four-factor, and five-factor models. This means that even when considering more factors, the above investment strategies can still achieve significant abnormal returns, further demonstrating their effectiveness. Overall, the analysis shows that odd-lot turnover rate is an effective proxy variable for investor sentiment.

目錄
論文審定書 i
誌謝 ii
中文摘要 iii
英文摘要 iv
第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 2
第三節 主要發現 3
第四節 研究流程 4
第二章 文獻回顧 5
第一節 台灣零股交易現況 5
第二節 投資人情緒的相關研究 5
第三節 假說建立 6
第三章 研究方法 9
第一節 研究架構 9
第二節 資料來源與樣本選取 10
第三節 變數定義與衡量 11
第四節 實證模型 14
第四章 實證分析 17
第一節 敘述性統計 17
第二節 多元迴歸分析 18
第三節 額外分析 19
第五章 結論與建議 21
第一節 結論 21
第二節 建議 22
參考文獻 23

 
圖次
圖3-1 研究架構圖 9

參考文獻
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