本研究旨在探討投資人在期貨市場上進行交易時，是否會因自身交易頻率的不同，對於績效結果產生落差，因此透過選取2007年7月至9月共三個月之期貨交易期間做為樣本，並且將每個帳戶皆視為個別獨立投資人，依據帳戶下單成交的交易口數區分為五個層級，利用每口平均報酬計算出各層投資人的績效，藉此分析在不同交易頻率下對於投資表現的影響。
研究結果顯示，散戶投資人進入臺灣期貨市場所獲得的績效報酬，與交易頻率間並無直接關係，然而績效報酬相對於交易操作，將與投資勝率、下單種類呈現正向關係；報酬標準差及持有時間則呈現負向關係，此外五個交易頻率層級下的散戶投資人，在投資勝率、持有時間、交易時段以及報酬標準差，各層級間皆存在顯著性的差異。
最低交易頻率層級雖然因交易次數低造成持有期貨部位的時間長，然而勝率表現卻優於其他四者，下單交易集中於開盤或收盤期間的比重也較高，至於在最高交易頻率層級，雖然樣本期間內買賣次數多造成持有期貨部位的時間短，在勝率表現上也無市場上其他散戶投資人佳，然而在報酬標準差的評估上，明顯優於其他四者，同時下單交易集中於盤中時段，這些因素為兩者在交易操作上最大差異。

The purpose of this study is to examine whether there are any differences between trading frequency and performance for investors at futures market. A selected sample of volatile trading days is chosen from July to September 2007, including intraday detailed transaction and order data from the TAIFEX. To achieve the research purpose, there are five levels made which are distinguished by average trading lots, and all accounts are seen as an individual investor. The return on investment of five levels will be evaluated by average return per lot, in order to analyze the investment performance between different trading frequency.
The empirical result demonstrates that for individual investors at TAIFEX, there is no relationship between return and trading frequency. Furthermore, the return earned by individual investors has a positive relation with winning rate and target of ordering. Besides, it also has negative relation with standard deviation of returns and holding periods. For individual investors, there is a significant difference among five levels in terms of winning rate, holding periods, trading timing and standard deviation of returns.
There are differences of trading behavior between highest and lowest trading frequency. Even though low frequency causes longer holding periods, winning rate of the level with lowest trading frequency is outstanding, and the orders are placed much close to opening trade or closing trade compared with other levels. For the level with highest trading frequency, the holding periods are short, but the winning rate does not outperform compared with other levels. However, the standard deviation of returns under this level is good and most of the orders are placed during the trading session.

(一) 中文部分
1.邱懷青(2010)，以日內資料探討臺股期貨交易人之交易績效，國立中央大學財務金融研究所碩士論文。
2.楊純華(2007)，期貨市場過度自信交易者交易行為之探討，國立成功大學財務金融研究所碩士論文。
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