臺灣博碩士論文加值系統

本研究利用台灣期貨交易所之選擇權、期貨委託、成交日內交易資料，探討法人取消、改單行為是否與積極成交以及獲利策略有關，討論法人取消或改單後是否有更積極的下單行為。本研究實證結果發現法人取消或改單後積極的下單行為，確實能提高成交率，並且也帶來好的獲利表現。我們更進一步提供自營商於期貨市場且流動性偏低的合約，改單後積極下單為純粹市場追價行為之證據，追價策略未必為其帶來獲利。三大法人中，外資為主要會以積極改單作為下單策略之交易者，當握有私有資訊時，較傾向計畫以積極成交策略為其賺取報酬。因此，本研究證明了取消、改單行為確實為資訊交易者之下單策略。

This study provides the evidence whether the limit order cancellations and revisions are associated with investors' trading strategies based on the unique order and transaction data of options and futures provided by Taiwan Futures Exchange (TAIFEX). We find that the dealers, who cancel or revise orders and concurrently submit the aggressive orders indeed have higher execution rate of their orders. However, in futures market for low liquidity contracts the higher execution rate has no improvement on their trading profits, which means they just tend to chase the market. We also find that the foreign institutional investors, which are considered as informed traders and make notable profits in Taiwan options and futures market, do also frequently cancel or revise orders. Our findings provide consistent viewpoint with previous studies that indicate the order cancellations and revisions are kinds of trading strategies.

第一章 緒論 1
第二章 文獻探討 5
第一節 投資人的下單策略 5
第二節 資訊交易者的下單策略 8
第三節 下單積極度 9
第四節 獲利表現 11
第三章 研究假說 13
第四章 研究方法 15
第一節 資料與樣本選取 15
第二節 變數定義 15
第二節 研究設計 20
第五章 敘述統計結果與討論 23
第一節 交易資料之敘述統計 23
第二節 三大法人之獲利表現 24
第三節 三大法人之下單積極度 24
第六章 實證結果與討論 26
第一節 成交率與下單積極度 26
第二節 獲利表現與下單積極度 29
第七章 結論 31
第八章 參考文獻 32
附錄 35

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