在市場存在漲跌幅限制下，當股價越接近漲跌停板，由於投資人非理性之交易行為等因素，造成股價有加速往停板方向移動的現象，此即所謂磁吸效應。由於較為狹窄之漲跌幅限制，臺灣為一研究磁吸效應之良好標的市場，且過去文獻多支持臺灣市場存在顯著的磁吸效應現象，因此本文欲以磁吸效應之基礎與概念，制定一日內交易策略機制，並以客觀之方式找出個股進入門檻，使投資人在進場後，價格後續達停板之機會增加，進而賺取價差而獲利。
本文針對臺灣證券交易市場於2010年上半年之日內交易資料進行研究，由於磁吸效應為本文策略之基礎，因此本文首先驗證樣本期間內是否仍存在磁吸效應，結果發現臺灣市場不論漲停或跌停方向，皆存在顯著之磁吸效應現象。由於個股特性不同，進入門檻亦應有所不同，因此本文採用Hansen(1999)提出之Panel Data 門檻迴歸模型，以成交價與停板之距離做為門檻變數，尋找個股之策略進入門檻。
最後，本文以2010年7、8月，以個股之策略進入門檻進行回測，並以迴歸方式探討其績效表現。結果發現當個股具備高市價淨值比、低股價、高度波動性、市場買壓強及流動性佳之特性時，採取此策略較能獲利。此外亦發現，且當個股屬於「流動性佳之成長型股票」、「高度波動性之低價股」，或同時具備「市場買壓大與流動性佳」情況下時，執行此策略時不但較能獲利，且能大幅增加其勝率之表現。而以產業的觀點來看，「貿易百貨」與「食品工業」兩大產業執行此策略之勝率最高。

Under the price limit, if the price accelerates toward the limits as it gets closer to the limits, this situation is called magnet effect. Taiwan Stock Market is a good targeting market to discuss the magnet effect because of its narrower price limit. Besides, there are several papers support magnet effect does exist in Taiwan’s market. Hence, we are going to establish a day-trading strategy based on the concept of magnet effect, and are trying to find out the entrance threshold for each stock by an objective method. The entrance threshold signals a higher probability of hitting price limit in the following day-trading period. Thus, investors can buy the stock once the price achieve the entrance threshold and make profits from arbitrage.
First of all, because magnet effect is the foundation of our strategy, we have to examine whether there’s magnet effect in the sample period. Using on the intraday data from 2010/1/4 to 2010/6/30 provided by the TWSE, a significant magnet effect has been found in Taiwan Stock Market during this period. Because each stock should have its own entrance threshold according to its characteristics, we use the Threshold Regression Model brought up by Hansen in 1999, and define the distance from price limit as the threshold variable to find out the entrance thresholds.
Finally, we use the data between 2010/7 to 2010/8 to test the strategy performance with these thresholds, and adopt regression analysis to investigate the factors that influence returns significantly. We found that stocks with higher MB ratio, lower price, higher volatility, stronger buying-pressure, or higher liquidity, may be able to gain profits by using this strategy. Moreover, investors can not only earn profits, but also increase the winning-rate significantly by investing in the following stocks: growing stocks with high liquidity, stocks with low price and high volatility, and stocks with strong buying-pressure and high liquidity. In addition, from the industry’s point of view, the department store industry and the food industry have the highest two winning-rate via this strategy.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 4
第二章 文獻回顧 6
第一節 磁吸效應 6
第二節 門檻模型 8
第三章 研究方法與設計 11
第一節 臺灣證券集中交易市場簡介 11
第二節 研究期間與樣本選取 14
第三節 當沖停板策略 16
第四節 實證模型與變數定義 18
第四章 實證結果 30
第一節 敘述統計 30
第二節 磁吸效應之檢驗結果 40
第三節 Hansen門檻迴歸模型 42
第四節 回測績效表現與探討 44
第五章 結論與建議 53
第一節 結論 53
第二節 後續研究建議 54
參考文獻 57
附錄 60

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