台灣股票市場中的當沖交易稅減半政策在第二次延長前，支持方與反對方對於政策是否延續以及當沖交易人對市場帶來的影響皆提出不同的看法。本文利用台灣期貨市場的逐筆交易資料觀察散戶當沖交易人相對於其他交易人的交易行為以及交易績效在降稅後的改變。台灣期貨市場獨特的當沖交易人辨認制度可以使實證分析結果更為精確，避免發生辨認上的錯誤。此外，台灣期貨市場中的當沖交易量超過80%是來自散戶，且法人通常被認為有較好的交易技巧與資訊優勢，因此將散戶當沖交易人設為本研究的實驗組，期望觀察到更顯著的結果。

在實證結果中，大多數散戶當沖交易人的交易績效在降稅前與降稅後皆顯著小於0，表示散戶當沖交易人過度自信的情形並沒有改善。另外，由迴歸結果推論，散戶當沖交易人相對於其他交易人在降稅後有較積極的交易行為，會刪除因為過去交易習慣而掛在離市價較遠的委託單，改掛在距離市價較近的價位，但是不會使用市價單或價格超過市價的限價單，此舉對於原本流動性較差的期貨合約可以顯著提升流動性，原本流動性較佳的期貨合約則沒有顯著影響。最後，大多數散戶當沖交易人相較於其他交易人在降稅後對價格的影響力會隨著成交後的時間增加而遞減，表示散戶當沖交易人較容易成為市場價格上漲或下跌的最後一批動能，在委託單成交後隨著時間增加而伴隨著更大的損失或更少的獲利。

Before the second extension of the halving day trade trading tax policy in Taiwan stock market, supporters and opponents expressed different views on whether the policy will continue and the impact of day traders on the market. This paper uses the order-level data of the Taiwan futures market to observe the trading behavior of individual day traders relative to other traders and the changes in trading performance after the tax cut. The unique identification rule of day traders in Taiwan futures market can make the empirical analysis results more accurate and avoid identification errors. In addition, more than 80% of the day trading volume in Taiwan futures market is from individual investors, and institution traders are generally considered to have better trading skills and information advantages. Therefore, individual day traders are set as the experimental group of this study, expecting to observe to more significant results.

In the empirical results, the trading performance of most individual day traders is significantly less than 0 before and after the tax cut, indicating that the overconfidence of day traders has not improved. In addition, inferring from the regression results, individual day traders have more radical trading behaviors after the tax cut compared to other traders. Individual day traders delete orders placed farther from the market price due to their past trading habits, and change them to place closer to the market price. But they don’t use market orders or limit orders which prices exceed the market price. Individual day traders’ behavior after tax cut can significantly improve the liquidity of futures that were originally less liquid, but have no significant impact on futures that were originally more liquid. Finally, compared with other traders, the influence of most individual day traders on price after the tax cut decrease with the increase of time after being executed, indicating that individual day traders are more likely to become the last momentum of market price with larger loss or smaller profit over time.

論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
目錄 vi
表次 vii
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機 1
1.3 研究問題 3
第二章 文獻回顧 5
2.1 當沖交易保證金減半政策 5
2.2 交易人行為 5
2.3 交易成本變動之影響 7
第三章 資料與研究方法 10
3.1 資料說明 10
3.2 變數定義 16
3.2.1 主要變數： 16
3.2.2 迴歸解釋變數： 18
3.3 實證模型 19
第四章 實證分析 21
4.1 過度自信的當沖交易人 21
4.2 訂單流動與成交品質 26
4.3 當沖交易人對價格的影響力 31
第五章 結論與研究建議 34
參考文獻 37

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