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投資人在漲跌停日之吸鐵交易行為與後續報酬

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表 6 樣本資料篩選過程 篩選條件 股票 個數 漲停天數 跌停天數 合計天數 收盤價達漲跌停板之上市普通股 546 3,346 1,624 4,970 樣本個股: 金融保險業及證券業類股 ( 20 ) ( 43 ) ( 22 ) ( 65 ) 全額交割股 ( 24 ) ( 598 ) ( 563 ) ( 1,161 ) 股價在 10 元以下 ( 132 ) ( 900 ) ( 341 ) ( 1,241 ) 在 2004 年 1 月 1 日後上市或在 2006 年 1 月 1 日前下市 ( 42 ) ( 2
表 9 投資人屬性之衡量方式與分群標準 投資人屬性 衡量方式 群組 分群標準 財富水準 研究期間最大單筆 委託單金額 最高 最大單筆委託單金額≧1,000 萬元次高500 萬元≦最大單筆委託單金額<1,000 萬元中等100 萬元≦最大單筆委託單金額<500 萬元 次低 10 萬元≦最大單筆委託單金額<100 萬元 最低 最大單筆委託單金額<10 萬元 交易頻率 研究期間內之交易 次數 高 交易次數≧50 次中12 次≦交易次數<50 次 低 交易次數<12 次 開戶年齡 至 2005 年 10 月 31
表 11 有效樣本個股事件日之吸鐵區委託流量 產 業 股票個數 事件日天數 吸鐵區委託流量 個數 % 漲停 跌停 合計 % 平減後 流量 a % 水  泥 1 0.53% 1 0 1 0.23% 0.54 0.05% 食  品 1 0.53% 1 0 1 0.23% 2.12 0.21% 塑  膠 3 1.58% 4 0 4 0.91% 4.19 0.42% 紡織人機 1 0.53% 1 0 1 0.23% 0.62 0.06% 機  電 5 2.63% 9 0 9 2.05% 6.37 0.63% 電線電
表 12 整體樣本之吸鐵區各類委託流量 樣本 個數 吸鐵區委託流量平減後 流量 a % 平均值(含 0) 平均值 (不含 0) d 標準差 最小值 最大值 整體樣本 b MOF(a) 645  (96)  c 10.596  1.051% 0.016  0.110 0.131  0.000  3.145  MOF(b) 645  (524)  c 405.705  40.242% 0.629  0.774 2.054  0.000  31.136  MOF(c) 645  (131)  c 131.707
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