本研究探討在台灣股市，隔夜正報酬後出現的日間報酬反轉的頻率是否能在臺灣股市作為預測股價報酬的指標。研究使用的樣本包含了從2016年2月到2022年12月間臺灣上市櫃公司。首先，迴歸分析顯示日間報酬負反轉的頻率與次月股價報酬有顯著正向關係，日間報酬正反轉則呈現顯著負向關係。隨後，以反轉頻率作為分組的依據，並透過價值加權和等權重的投資組合分析，檢驗此反轉模式的預測效果，結果顯示日間報酬負反轉頻率較高的投資組合沒有顯著優於其他投資組合，因此此反轉模式在臺灣股市無法有效預測股價報酬。

This study investigates whether the frequency of negative daytime reversals succeeding positive overnight returns serves as a reliable predictor of stock returns in the Taiwan market. I use a sample comprising listed companies in Taiwan, spanning from February 2016 to December 2022. My initial regression analysis shows a significant positive relationship between the frequency of negative daytime return reversals and stock price returns in the following month, while positive daytime return reversals exhibit a significant negative relationship. Subsequently, using reversal frequency as the basis for grouping, the study employs both value-weighted and equal-weighted portfolio analyses to examine the predictive power of this reversal pattern. The results indicate that portfolios with higher frequencies of negative daytime return reversals do not significantly outperform other portfolios, suggesting that this reversal pattern is not effective in predicting stock price returns in the Taiwan stock market.

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