本研究利用2022年4月27日至2023年5月5日台灣上市公司之普通股30分鐘報酬資料，在放寬當沖交易限制與程式交易更加興盛的環境下，仍可以發現Heston, Korajczyk and Sadka (2010) 的日內報酬週期性現象。以Fama and MacBeth (1973) 迴歸進行分析，結果指出30分鐘報酬與五個交易日內相同時間區間的報酬具有顯著正向關係。該效果高於先前文獻之結果，顯示股票日內報酬的週期性比起投資人行為偏誤，更可能是反映了機構投資人的系統性交易行為 (Murphy and Thirumalai, 2017)。另外，利用報酬週期性建構贏家與輸家投資組合可提供顯著正報酬，且此策略使用40個交易日前報酬資料仍有效。此報酬週期性現象也提供投資人市場擇時的策略參考。
　　子樣本分析顯示，報酬週期性效果的主要來源為收盤前半小時，但效果全日可見。贏家與輸家投資組合分析得出相似結果。在所有時間區段中，落後期5與6的報酬都對當期30分鐘報酬有顯著正向影響，可能為資訊落後交易者的影響 (Gao, Han, Li and Zhou, 2018)、投資人的從眾行為 (Lee, Liu, Roll and Subrahmanyam, 2004) 或是機構投資人在日內分割委託單的結果 (Lin and Ma, 2014)。

Using a recent sample from April 27th, 2022, to May 5th, 2023, I examine whether or not the Heston, Korajczyk and Sadka (2010) return pattern exists in Taiwan Stock Exchange, given changes in further permission in day-trading and improvements in trading technologies. The result of Fama and MacBeth (1973) regressions shows significant positive responses on 30-minute returns from exact 30-minute intervals on past five trading days. This effect is stronger and lasts longer than previous studies on Taiwan stock market, which suggests the periodicity of intraday stock returns in Taiwan might not be a behavioral bias but reflect some fundamentals that institutions trade systematically (Murphy and Thirumalai, 2017). Winners and losers portfolios based on the phenomenon can earn statistically significant returns, and the strategy is effective for at least 40 previous trading days, which provides market timing insights for investors.
The main source of the periodicity effect is from the closing 30-minute interval, while it generally exists all day. Portfolio returns have similar results. Responses from lags 5 and 6 are significantly positive across all the three subsamples, it could be a sign of late-informed traders (Gao, Han, Li and Zhou, 2018), a result from herding behavior (Lee, Liu, Roll and Subrahmanyam, 2004) or institutional traders splitting their large orders intraday (Lin and Ma, 2014).

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