臺灣博碩士論文加值系統

本文檢測台灣證券交易所之投資人下單策略以及委託單流量與股票報酬、
價格波動度及買賣價差量三者間的關係。其中投資人的下單策略分為兩
種，一為放置市價化限價單，另一為放置最佳五檔之限價單。本文以台灣
五十之五十五支個股為樣本研究發現，第一、當前一個區間之股票報酬上
升（下降）時，買單減少（增加），賣單增加（減少）。第二、前一區間若
有較大的價格波動度，將導致較少的市價化限價單。第三、前一區間的買
賣價差較寬時，則投資人會放置較不積極的委託單。

This paper examines factors that affect the decisions of market participants to
place limit orders within the five best bid and ask queues on the Taiwan Stock
Exchange. Factors include stock returns, volatility, and bid-ask spread. In
addition, the influence on the flow of limit orders is of interest. Firstly, when the
stock price has moved up (down) over the previous interval, buy orders will
decrease (increase) but sell orders will increase (decrease). Secondly, greater
price volatility during the previous interval leads to less marketable limit orders
in the marketplace. Thirdly, the widening of the bid-ask spread also causes
traders to place less aggressive orders.

摘要..................................................... I
目錄.................................................... II
圖目錄..................................................III
表目錄.................................................. IV
壹、研究動機與目的....................................... 1
貳、交易制度與資料來源................................... 5
一、台灣市場的交易制度................................... 5
二、資料來源............................................. 6
參、研究假說與方法....................................... 9
一、研究假說............................................. 9
二、研究方法............................................ 11
肆、實證結果............................................ 15
伍、結論................................................ 21
參考文獻................................................ 29

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