臺灣博碩士論文加值系統

近幾年來，許多研究探討市場微結構中流動性及委託單對股票價格之影響。台灣股票市場中為委託單驅動市場，其中不存在造市者。在我們的研究中將一天的交易時間分成九個區間，我們探討流動性供給和流動性需求之委託單不平衡淨額與不同類型投資者交易行為之關係以每三十分鐘之頻率。我們發現在開盤的半小時內，提交的委託量在一天交易中極高。在高頻的基本面交易者和投機者與開盤的股票報酬呈現正相關，另外，在其餘交易時間裡，日內交易者之交易行為與同期報酬呈現正相關。

In recent years, market microstructure research has explored, and liquidity and order flows do impact price formation. In Taiwan, the TSE (Taiwan security exchange) market is completely order-driven with no market makers. In our study, split the trading day into nine half-hour periods of trading day. Our approach net trading NT dollar volume of liquidity-demanded and liquidity-supply order imbalances within the trading day for nine intervals, and divide trader types according to trading actives. We examine the contemporaneous relationship between the trading activity of different trader groups and returns by half-hour. We prove that order submission and trading activity is highest at the opening half-hour of the trading day, which implies that liquidity clusters during the half-hours. We find frequent fundamental traders and opportunistic traders have highest correlation with stock return during opening half-hour. In addition, day traders conduct trading activities with contemporaneous return movements during closing and middle of trading day.

摘要 i
ABSTRACT ii
1. Introduction 3
2. Literature Reviews 6
3. Methodology 9
3.1 Micro-momentum at the Open and Close 9
3.2 Identifying Trader Type 9
3.3 Measuring Variable 11
3.3.1 Order imbalance variables 11
3.3.2 Return calculations 12
3.4 Activity of Trader in micro-momentum 12
3.4.1 Contemporaneous Relationship 12
4. Empirical result and Analysis 14
4.1 Data Description 14
4.2 Descriptive Statistics 15
4.3 Empirical Analysis 16
5. Conclusion 18
Reference 20

1.Admati, Anat R., and Paul Pfleiderer, 1988, “A theory of intraday patterns: Volume and price variability,” Review of Financial Studies 1, 3-40.
2.Barber, B. M., Lee, Y. T., Liu, Y. J., &; Odean, T., 2009, “Just how much do individual investors lose by trading?,” Review of Financial Studies 22,, 609-632.
3.Bertsimas, Dimitris, and Andrew W. Lo, 1998, “optimal control of execution costs,” Journal of Financial Markets 1, 1-50.
4.Blume, Marshall E., A. Craig Mackinlay, and Bruce Terker, 1989, “Order imbalances and stock price movements on October 19 and 20, 1987,” The Journal of Finance 44, 827-848.
5.Brown, P., Walsh, D., &; Yuen, A., 1997, “The interaction between order imbalance and stock price,” Pacific-Basin Finance Journal 5, 539-557.
6.Chan, Louis K. C., and Josef Lakonishok, 1995, “The behavior of stock prices around institutional trades,” Journal of Finance 50, 1147-1174.
7.Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok, 1995, “Evaluating the performance of value versus glamour stocks: The impact of selection bias,” Journal of Financial Economics 38, 269–296.
8.Chan, K., &; Fong, W. M., 2000, “Trade size, order imbalance, and the volatility–volume relation,” Journal of Financial Economics, 57, 247-273.
9.Chordiaa T., Rollb R., Subrahmanyam A., 2002, “Order imbalance, liquidity, and market returns,” Journal of Financial Economics 65, 111-130.
10.Chordia, Tarun, and Avanidhar Subrahmanyam, 2004, "Order imbalance and individual stock returns: Theory and evidence." Journal of Financial Economics 72, 485-518.
11.Chui, A. C., Titman, S., &; Wei, K. J. 2010, “Individualism and momentum around the world,” The Journal of Finance 65, 361-392.
12.Diamond, Douglas W., and Robert E. Verrecchia, 1987, “Constraints on short-selling and asset Price adjustment to private information,” Journal of Financial Economics 18, 7-311.
13.Glosten, L., and P. Milgrom, 1985, “Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders,” Journal of Financial Economics 14, 71-100.
14.Grinblatt, M., &; Keloharju, M., 2000, “The investment behavior and performance of various investor types: a study of Finland''s unique data set,” Journal of Financial Economics 55, 43-67.
15.Hasbrouck, J., &; Seppi, D. J., 2001, “Common factors in prices, order flows, and liquidity,” Journal of financial Economics 59, 383-411.
16.Heston, Steven L., Robert A. Korajczyk, and Ronnie Sadka, 2010, “Intraday Patterns in the Cross-section of Stock Returns,” Journal of Finance 65, 1369-1407.
17.Hora, Merrell, 2006, “Tactical liquidity trading and intraday volume,” Social Science Research Network Working Paper Series.
18.Jain, Prem C., and Gun-Ho Joh, 1986, “The dependence between hourly prices and trading volume,” Journal of Financial and Quantitative Analysis 23, 269-283.
19.Kaniel, Ron, and Hong Liu, 2006, “So what orders do informed traders use?,” Journal of Business 79, 1867-1913.
20.Kaniel, Ron, Shuming Liu, Gideon Saar, and Sheridan Titman, 2012, “Individual investor trading and return patterns around earnings announcements,” Journal of Finance 67, 639-680.
21.Keim, Donald B., and Ananth Madhavan, 1995, “Anatomy of the trading process: Empirical evidence on the behavior of institutional traders,” Journal of Financial Economics 37, 371-398.
22.Kirilenko, Andrei, et al., 2011, "The flash crash: The impact of high frequency trading on an electronic market." Manuscript, U of Maryland.
23.Kyle, A., 1985, “Continuous auctions and insider trading,” Econometrica 53, 1315-1335.
24.Murphy D. and and Ramabhadran S. Thirumalai, 2012, “Continuation in Daily Returns and Slow Diffusion of Information,” Working paper.
25.Nofsinger, John R., and Richard W. Sias., 1999, “Herding and feedback trading by institutional and individual investors,” The Journal of Finance 54, 2263-2295.
26.Lauterbach, B., &; Ben‐Zion, U. R. I., 1993, “Stock market crashes and the performance of circuit breakers: Empirical evidence,” The Journal of Finance 48, 1909-1925.
27.Stoll, H., 1978, “The pricing of security dealer services: An empirical study of NASDAQ stocks,” Journal of Finance 33, 1153-1172.
28.Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam, 2004, “Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange,” Journal of Financial &; Quantitative Analysis 39 ,327-341