本研究欲藉由Timing Return及Timing Risk為指標，比較並探究在不同的交易額、交易時段及交易時距等類別下，投資人因選擇不同交易時點所面對的報酬及風險。本研究分別選取1998年及2000年曾納入美國S&P100之公司為研究樣本，利用ANOVA統計方法檢定在不同的交易額、交易時段及交易時距等類別下的Timing Return及Timing Risk有何不同，並進一步探討該市場中是否存在有判斷能力之交易者，以及何種交易類別型態下之交易能產生截然不同的Timing Return及Timing Risk。實證結果發現：(1)在擇時報酬方面，多頭期間，小額交易之賣方投資人所面對之擇時報酬最大、開盤期間之賣方投資人所面對之擇時報酬最大、短時距之賣方投資人所面對之擇時報酬最大；而空頭期間除了不同交易時段類別的投資人所面對之擇時報酬無顯著差異外，其他之實證結果與多頭期間一致。(2)在擇時風險方面，無論是在多、空頭期間下，除了不同交易額類別的投資人所面對的擇時風險無顯著差異外，以長時距及收盤期間交易之賣方投資所面對之擇時風險最小。

There appears to be little understanding in the intraday timing ability of traders. Two indices, “timing return” and “timing risk”, will be used to measure and compare investors’ return and risk in different trading timing under the various trading size, period and duration categories. We will use ANOVA to test the difference in “timing return” and “timing risk” under various trading size, period and duration categories to examine whether there are discretionary traders in these two markets. The sample consists of 97 firms in the S&P 100 from 1998 to 2000. The results are as follows. About timing return, the small-sized, opening-period , or short-duration investors on the selling side get the most in the bull market. The results in the bear market are basically the same as there in the bull market, except that the timing returns under different trading period categories are not significantly different. As for timing risk, the ending-period or long-duration investors on the selling side get the least both in the bull market and in the bear market. The timing risk under different trading sizes appears to be not significantly different under both markets.

中文部分

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