臺灣博碩士論文加值系統

本文研究市場條件對股市交易者下單行為的影響，使用臺灣證券交易所提供之日內交易資料，探討 (1) 市場條件是否影響整體投資人之下單行為 (包括委託單積極度及委託單規模)？(2) 在不同類別的投資人下，市場條件與投資人下單行為間之關係。(3) 最後，本文研究市場條件、投資人下單行為及長短期的投資績效之關係。本文研究結果發現，投資人之下單決策會受到市場條件的影響，而散戶投資人在臺灣股市中佔了六成以上的交易量，因而主導了市場的主要走向。此外，專業投資人 (即外資與投信基金) 在面臨市場條件變化時，可能會藉由專業知識而做出相同的投資決策。最後，從投資績效中可以看出買賣方之間具有不對稱效果，績效表現在買方交易時較佳，此不對稱效果會影響到市場參與者的投資策略。

This study examines whether market conditions have impacts on the order submissions of market traders. We use intraday trading data from Taiwan Stock Exchange to investigate the following research topics. First, we examine whether market conditions affect investors’ order submission behavior, including the order aggressiveness and order size. Second, we analyze the relationship between market conditions and order submissions across investor types. Third and lastly, we explore the relationship among market conditions, order submissions of investors, and investment performances in the short- and long-term periods. Our results are as follows. First, we find that market conditions have influence on the order submissions of investors. Individuals account for about 60% of TWSE’s trading volume. This is why the market is dominated by individuals. Second, professional investors (including mutual funds and foreign investors) may make same decisions by their professional knowledge when they face market conditions change. Finally, there exist asymmetric effects between buy and sell orders in investment performance results. The asymmetric effects will influence the investment strategies of market participants.

致謝辭 I
摘要 II
Abstract III
目次 IV
表目次 VI
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 2
第貳章 相關文獻探討 4
第一節 市場條件及下單行為相關文獻 4
第二節 下單行為及投資人類別相關文獻 4
第三節 投資人類別及交易績效相關文獻 5
第參章 研究資料 6
第一節 資料來源 6
第二節 相關變數 6
第肆章 研究方法 10
第一節 市場條件是否影響整體投資人之下單行為 10
第二節 在不同類別的投資人下，市場條件與投資人下單行為間之關係 11
第三節 市場條件、投資人下單行為及投資績效之關係 13
第伍章 實證分析 15
第一節 主要變數之敘述統計 15
第二節 市場條件是否影響整體投資人之下單行為 16
第三節 在不同類別的投資人下，市場條件與投資人下單行為間之關係 18
第四節 市場條件、投資人下單行為及投資績效之關係 22
第陸章 研究結論 25
參考文獻 27
一、 中文部分 27
二、 英文部分 27

表 1 敘述統計 30
表 2 市場條件與投資人下單行為之關係 31
表 3 在不同類別的投資人下，市場條件與投資人下單行為間之關係 34
表 4 加入投資人類別與市場條件之交乘項後，在不同類別的投資人下，市場條件與投資人下單行為間之關係 37
表 5 市場條件、投資人下單行為與投資績效之關係 42
表 6 加入投資人類別與市場條件之交乘項後，市場條件、投資人下單行為與投資績效之關係 45

一、 中文部分
陳孝琪、劉曦敏，2010，「價差、深度、及市價單和限價單的最適下單策略」，經濟研究，第46卷第1期，頁1-67.

二、 英文部分
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