本研究主要依據Chung, Choe and Kho (2009) 的研究方法，分別採用VAR模型及縱橫分析，來探討在台灣當日沖銷對投資者是否有影響，採用台灣證券交易所上市、上櫃的股市資料作為研究樣本，研究期間為2017年4月28日至2020年12月31日之日資料，目的在觀察當沖客是否會影響股票市場上波動加劇。
實證結果發現，現股當沖報酬率不管在疫情前後，大多呈現負的報酬率。透過VAR模型得出當沖大盤會造成波動性與流動性 有顯著負相關，說明波動率高低會影響流動性。疫情前的當沖比率與delay值呈負相關，疫情後成正相關，代表在疫情前的當沖投資人的隱藏資訊會比疫情之後來的多，且當沖投資人偏好股價淨值比、成交值高的熱門股以及高風險高波動性的個股。

Based on the research method of Chung, Choe and Kho (2009), this study uses VAR model and vertical and horizontal analysis to explore whether the day-trading in Taiwan has an impact on investors. The data of listed and OTC stock markets in Taiwan stock exchange is used as the research sample, and the research period is from April 28, 2017 to December 31, 2020. The purpose of this paper is to observe whether the impact of the impulse customers on the stock market volatility.
The empirical results show that the current stock when the rate of return regardless of before and after the epidemic, most of the negative rate of return. Through the VAR model, it is concluded that when the market is attacked, there will be a significant negative correlation between volatility and liquidity, indicating that volatility will affect liquidity. There is a negative correlation between the day trade ratio before the epidemic and the delay value, and a positive correlation after the epidemic, which means that the investors before the epidemic will have more hidden information than after the epidemic, and they prefer the stocks with high price-book ratio, high transaction value and high risk and high volatility.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第二章 文獻探討 5
第一節 現股當日沖銷制度介紹 5
第二節 有關當日沖銷之相關文獻 11
第三節 有關波動性與流動性之衡量方式 14
第四節 資訊傳遞之衡量方式 18
第三章 研究方法 20
第一節 樣本與資料來源 20
第二節 當日沖銷之先驗 22
第三節 波動性與流動性之估計 24
第四節 研究模型 26
第四章 實證結果 31
第一節 當沖先驗之報酬率統計 31
第二節 VAR模型	34
第三節 資訊傳遞速度模型 40
第四節 縱橫分析 41
第五章 結論 47
參考文獻	49

表目錄
表1 現股當沖、資券當沖的規則差異比較 10
表2 上市大盤基本敘述統計 34
表3 上櫃大盤基本敘述統計 35
表4 全體大盤基本敘述統計 36
表5 上市VAR 37
表6 上櫃VAR 38
表7 上市上櫃VAR 39
表8 資訊傳遞速度之相關係數 40
表9 縱橫敘述統計 42
表10 上市縱橫分析 43
表11 上櫃縱橫分析 44
表12 全體縱橫分析 45

圖目錄
圖1 上市櫃歷年當沖趨勢圖 12
圖2 2020年加權指數趨勢圖 21
圖3 2020年3月19日前40天之當沖報酬率 32
圖4 2020年3月19日後40天之當沖報酬率 33

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