本文以樂透大獎日作為可重複之自然實驗，檢驗盤中零股交易制度實施前後，整張市場投資人委託決策之變化，並探討其背後原因。實證結果顯示，盤中零股制度實施後，整張市場中散戶投資人面對樂透大獎日時，委託積極度與委託規模的變化幅度皆顯著減少，顯示樂透與股票之間的替代效果減弱。進一步觀察零股市場後發現，零股市場中的散戶投資人面對樂透大獎日時委託規模的變化，呈現出與制度實施前整張市場相似的結果。綜合以上發現，本文認為原先在整張市場中具有賭博情緒的投資人，於盤中零股交易制度實施後，可能轉移至零股市場進行交易，以滿足其投機性需求。

This study uses lottery jackpot day as a repeated natural experiment to examine changes in the order-submission behavior of round-lot market investors before and after the implementation of the intraday odd-lot trading policy, and to explore the underlying mechanisms. Empirical results indicate that following the policy implementation, the magnitude of changes in both order aggressiveness and order size among retail investors in the round-lot market on jackpot days diminished significantly, suggesting a notable weakening of the substitution effect between lotteries and stocks. Further analysis of the odd-lot market reveals that the change in order size among retail investors on jackpot days closely resembles the pattern previously observed in the round-lot market prior to the policy implementation. Taken together, these findings suggest that gambling-driven investors, who previously traded in the round-lot market, may have shifted their trading activity to the odd-lot market following the introduction of intraday odd-lot trading, in order to satisfy their speculative trading demand.

論文審定書...........................................................i
摘要................................................................ii
Abstract............................................................iii
目錄................................................................iv
表次.................................................................v
第一章、前言.........................................................1
第二章、文獻回顧與假說...............................................3
2.1 零股交易之相關文獻...........................................3
2.2 投資人賭博行為相關文獻.......................................3
2.3 投資人下單積極度之相關文獻...................................4
2.4 研究假說.....................................................6
第三章、研究資料與方法...............................................8
3.1 資料來源.....................................................8
3.2 被解釋變數...................................................8
3.3 解釋變數....................................................10
3.4 迴歸模型....................................................10
第四章、實證結果與分析..............................................13
4.1 敘述統計....................................................13
4.2 實證結果....................................................13
4.3 穩健性分析..................................................14
第五章、結論........................................................16
參考文獻............................................................18
附錄................................................................44

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