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研究生:彭元廷
研究生(外文):Peng, Yuan-Ting
論文名稱:臺灣期貨市場委託積極度及新進委託單之研究
論文名稱(外文):A study of Order Aggressiveness and Incoming Order in Taiwan Futures Market
指導教授:詹場詹場引用關係
指導教授(外文):Chan, Chang
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:合作經濟學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:100
中文關鍵詞:市場微結構委託導向市場委託積極度臺指期貨
外文關鍵詞:Market MicrostructureOrder-DrivenOrder AggressiveTaiwan Futures Market
相關次數:
  • 被引用被引用:0
  • 點閱點閱:289
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
由於投資人原始委託資料取得不易,既使可以取得,成本也相對昂貴且非即時的
資料,因此應用原始委託資料實證投資人委託積極度,有時效及成本的限制。所以本
研究延伸胡星陽、詹場(2008)推導集合競價市場之委託單失衡衡量法,於採連續競價制
度之台灣期貨市場,試圖不用原始委託資料,僅使用揭示的最佳五檔買賣價格與委託
量,及時推得各種價格下之新進委託單,進而衡量投資人的委託積極度。
本研究使用2006 年7 月1 日至12 月31 日近月臺指期貨投資人原始委託日內資料,
驗證本研究推導方法推得之新進淨委託正確性。本研究之推導方法,大致上能正確推
得各種買賣價下之新進淨委託量。
另外,本研究同時探討影響投資人委託積極度之因素,實證結果發現買方投資人
的委託積極度與成交量及賣方深度呈正相關,與報酬、價格波動、價差、買方深度呈
負相關;賣方投資人的委託積極度與成交量、報酬、及買方深度呈正相關,與價格波
動、及賣方深度呈負相關。
This study focuses on the order aggressive of order-driven market. I examine the
relationship between the state of the limit order book and the subsequent trading
aggressiveness of the trader’s decision.
I develop the method to infer the order aggressive. The information needed for applying
the method is: trade price, both the best bid and ask, and their sizes. In general, the
information is available for all traders. To prove the effective of my method, my empirical is
based on order and transaction data from Taiwan Futures Market, which is an order-driven
electronic market.
The empirical result shows that my method is valid to measure the order aggressive.
Also, I find that buyer (seller) order become more aggressive when the volume increase, the
price decrease (increase), the volatility decrease, the spread narrow, the opposite side book is
thicker, and the own side book is thinner.
第壹章 緒論 ............................................................................................... 1
第一節 研究背景與動機 ............................................................................................ 1
第二節 研究目的 ........................................................................................................ 3
第三節 研究流程 ........................................................................................................ 4
第貳章 文獻探討 ....................................................................................... 5
第一節 委託行為之文獻探討 .................................................................................... 5
第二節 委託積極度之文獻探討 ................................................................................ 8
第參章 研究方法 ..................................................................................... 15
第一節 資料描述 ...................................................................................................... 15
第二節 假說建立 ...................................................................................................... 18
第三節 新進淨委託單之推導 .................................................................................. 22
第四節 委託積極度之實證模型設定 ...................................................................... 27
第肆章 實證結果與分析 .......................................................................... 32
第一節 資料分析 ...................................................................................................... 33
第二節 新近淨委託單推導正確性之檢定 .............................................................. 40
第三節 推導與實際之委託積極度的實證結果分析 .............................................. 51
第四節 委託積極度衡量方法二之實證結果分析 .................................................. 63
第伍章 結論及建議 .................................................................................. 79
第一節 結論 .............................................................................................................. 80
第二節 建議 .............................................................................................................. 83
附錄 ............................................................................................................. 84
參考文獻 ...................................................................................................... 98
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