本文以探討台灣投資人情緒對當沖交易行為的影響為目的，分析資券比及綜合情緒指標對於當沖比重的影響。實證結果顯示，資券比及綜合情緒指標對於當沖比重為顯著正向影響，顯示當投資人情緒越樂觀，當沖交易行為的當沖熱度越熱絡。而在當沖降稅實施後，顯著增加當沖市場交易熱度，且綜合情緒指標對當沖交易行為產生更顯著的正向影響；在新冠疫情爆發後，也顯著增加當沖市場交易的熱度，綜合情緒指標對當沖交易行為產生更顯著的正向影響，顯示此兩事件的發生皆更加強烈的促進當沖交易的熱度。此外也發現投資人情緒對於現股當沖的影響顯著大於資券當沖的影響，且隨著公司規模越大當沖比重越高，代表公司規模對於當沖交易行為有一定的影響。

This study aims to investigate the impact of investor sentiment on day trading
behavior in Taiwan, specifically analyzing the effects of the margin trading and the
comprehensive sentiment index on the proportion of day trading. Empirical results show
that both the margin trading and the comprehensive sentiment index have a significantly
positive impact on the proportion of day trading, indicating that the more optimistic the
investor sentiment, the higher the day trading activity.
After the implementation of the day trading tax reduction policy, there was a
significant increase in day trading market activity, and the comprehensive sentiment
index had a more pronounced positive impact on day trading behavior. Similarly, the
outbreak of the COVID-19 pandemic significantly increased day trading market activity,
with the comprehensive sentiment index having a more pronounced positive impact on
day trading behavior. These two events notably enhanced the enthusiasm for day trading.
Additionally, the study finds that investor sentiment has a significantly greater
impact on cash day trading than on margin day trading. Furthermore, as company size
increases, the proportion of day trading also increases, indicating that company size has
a substantial influence on day trading behavior

論文審定書 i
致謝 ii
中文摘要 iii
英文摘要 iv
圖表次 vi
第一章、緒論1
第二章、文獻回顧與假說建立4
2.1、投資人情緒相關研究4
2.2、台灣當沖交易現況5
2.3、假說建立6
第三章、樣本資料與研究設計10
3.1、資料來源與樣本選取10
3.2、變數定義與衡量10
3.3、實證模型16
第四章、實證結果18
4.1、敘述性統計18
4.2、迴歸模型分析結果21
4.2.1 相關係數矩陣21
4.2.2 平均數及中位數差異性檢定22
4.2.3 主要迴歸結果24
4.3、穩健性檢定32
4.3.1 資券當沖比重及總當沖比重32
4.3.2 公司市值規模分群35
第五章、結論38
參考文獻39

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