臺灣博碩士論文加值系統

在臺灣期貨交易所裡，交易者可以自由選擇使用限價單或市價單來進行交易。
本篇論文將交易者分為八大類別，並研究臺灣期貨交易所於2006 年3 月27 日至
2008 年7 月31 日(商品契約日期為2006 年4 月至2009 年6 月)的樣本期間裡，
不同的下單別是否會影響交易者的最終獲利。我們使用Wilcoxon 無母數檢定方
法來檢測每個交易族群中不同下單別的獲利情形。實證結果顯示不同的下單別的
確會影響交易者的最終獲利，而我們推論可能原因有二：(1) 資訊差異 (2) 過
度自信。結果顯示有資訊的下單別可以使獲利增加；而交易者在下單時過度自信
的行為將會減少獲利。本篇論文的主要貢獻是可以做為期貨市場上投資人在決定
下單別時的參考依據。

Many traders participate in the Taiwan futures market and each trader can choose his/her order type between limit order and market order. This study divides traders into eight groups. This study investigates how these order types influence the payoff of different traders in Taiwan futures market from March 27, 2006 to July 31, 2008 (contract date from April, 2006 to June, 2009). Wilcoxon rank-sum test is conducted among different order type’s payoff for every group. The empirical results show that different order types lead to different payoffs and we infer the reasons are: (1) information asymmetry and (2) overconfidence. Results also show that information plays an important role on trader’s payoff; however, overconfidence has a negative impact on trader’s payoff. The main contribution of this study is to give investors a lesson for making order-type decisions.

Contents
Chapter I. Introduction 1
Chapter II. Literature Review 3
1. Performance of Traders 3
2. Trading behaviors - Informed traders 4
3. Trading behaviors - overconfident traders 6
Chapter III. Data and Methodology 9
1. Data 9
a. Raw data 9
b. Trading scheme 10
c. Our trading rule 11
d. Raw data selected 11
e. Order types 12
2. Methodology 15
a. Index point profit 15
b. T test for profitability 17
c. Inference process for two independent sample groups 18
d. Normality test 19
e. Wilcoxon rank-sum test 23
f. Order ratio test 25
Chapter IV. Empirical Results 27
1. Descriptive statistic for our order data orders: 27
2. Index point profit for all order: contract date from 2006/04 to 2009/06 29
3. Index point profit for each order type: contract date from 2006/04 to 2009/06 29
4. Result for normality test: 30
5. Result for two independent samples test. 31
6. Result for order ratio test. 31
7. The possible reasons for the different performance among these three order types: 32
Chapter V. Robustness Check 34
Chapter VI. Conclusion 36
References 38

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