An Analysis on the Factors Affecting Day-trading Ratio and Return

• Main Authors: Hou,Yueh-Yin, 侯月寅
• Other Authors: Lo,Chih-Hsien
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/wu9uxf

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 107 === This thesis would like to investigate the affection of the three stages of Day Trade Strategy to the Day Trade Ratio (DT) and the Day Trade Rate of Return (DTR). The subjects of the study are the constituent stock of Taiwan Top50 ETF, Taiwan Mid-Cap 100 ETF, and TPEx 50 Index. The dependent variables are DT and DTR. The self-variables are Turnover, Size, INSTANT, and virtual variable of industry category. The Empirical analysis method is regression analysis. The results of the Empirical analysis are as below: (1)The DT goes upward trend in the stages of one way, two way and tax reduction. ELET has the most obvious trend. This result meets the theory that the ELET has a more active characteristic, has higher stock price fluctuation. It’s suitable to earn the spread by day-trading. The increasing of the Day-trading Ratio will also raise up the DTR and the Turnover. The net revenues of income tax of The securities of transaction Tax are not decreased because of the tax reduction. This indicates the policy is effective. (2)The Turnover, DTR, Size, and the INSTINV have a strong effect on the DT. Turnover has the most positive effective influence. This reveals the investors prefer high turnover ratio stock when they using day-trading strategy. the investors preper electronic stocks and traditional industry stocks than financial stocks. (3)DT has a positive and effective influence on the DTR. therefore, the investors have a high possibility to do the DT because of the trading profit.