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研究生:吳柏廷
研究生(外文):Po-ting Wu
論文名稱:交易競爭性與資訊相關性對於資訊交易者委託單積極度之影響
論文名稱(外文):Order Aggressiveness of Informed Traders under Different Competitions of Trading and Correlations of Information
指導教授:馬黛馬黛引用關係
指導教授(外文):Tai Ma
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2011
畢業學年度:99
語文別:中文
論文頁數:108
中文關鍵詞:日內型態資訊相關性交易競爭性資訊交易者委託單積極度
外文關鍵詞:Informed tradersCorrelation of informationIntraday PatternsOrder AggressivenessCompetition of trading
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本研究參考馬黛與洪榮耀(2004)以三大法人的數量衡量交易競爭性,以及用三大法人的委託單流量衡量資訊相關性,並且每日篩選一次樣本,分為四種樣本:高競爭高相關、高競爭低相關、低競爭高相關與低競爭低相關。從資訊交易者日內行為相關測度可發現,在高交易競爭性的樣本中,其市價單比率與平均委託張數在開收盤較高,並且從委託單積極度的實證中也發現在高交易競爭性的樣本中,資訊交易者的委託單積極度較高,尤其在高競爭低相關的樣本中更為明顯,符合Back et al.(2000)認為資訊不完全相關的資訊交易者會在交易前期基於共同資訊而積極交易,然後隨著時間採伺機而動的消極策略,最後在收盤前為了消耗剩餘的私人資訊而積極交易,因此在高交易競爭性的樣本中,無資訊的散戶應避免於交易前期與後期進場,以免承受較高的逆選擇成本。而觀察資訊交易者的下單策略則發現三大法人在日內前期報酬增加會傾向於下買單,即採取動能策略,不過在低交易競爭性的樣本而言,外資的動能策略較不明顯。最後,從外資在日內交易行為的變化可發現,在低交易低相關的樣本中,在給定前期報酬增加的情況下,外資會在前期的買單較消極而賣單較積極,而到了後期,則買單會轉為積極並且賣單會轉為消極,這樣行為的改變可能與自營商的策略在交易前期積極而在後期較消極有關,因此無資訊的散戶在交易這些股票時應避免跟隨大單以及追漲殺跌的行為。
This paper refers to Ma and Hung(2004) using the amount of the institutional investors to measure the competitions of trading and the order flows of the institutional investors to measure correlations of information. We filter the data on daily basis and divide the data into four groups: high competition and high correlation, high competition and low correlation, low competition and high correlation, and low competition and low correlation. From the measurements of the informed traders’ intraday behavior, we find that in the sample of high competitions of trading, the informed traders trade aggressively to exploit the common private information in the early period; In the middle period, since the common private information has been revealed to the market, the informed traders trade passively to avoid other informed traders knowing his private information; In the later period, the informed trader trade aggressively again to consume their private information before the market close. So, when trading these stocks, uninformed individual investors should avoid entering the market in the early and the later periods because of the high adverse selection cost. Besides, when prior return increases (decreases), the informed traders tend to place buy (sell) orders, indicating the informed traders are momentum traders. Last but not least, we observe in the sample of low competition and low correlation, the foreign investors behave differently in intraday strategy. Given the increasing of prior return, the buy (sell) orders of the foreign investors become passive (aggressive) in the early period, but in the later period, the buy (sell) orders of the foreign investors turn to be more aggressive (passive) with the increasing of prior return. The result may relate to the strategy of proprietary traders. For this reason, when trading these stocks, uninformed individual investors should avoid following the large orders and the momentum strategy in the early period.
論文審定書 i
摘 要 ii
Abstract iii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究貢獻 3
第二章 文獻探討 4
第一節 限價委託簿狀態對於投資人下單策略之影響 4
第二節 交易競爭性與資訊相關性對資訊交易者下單策略之理論文獻 12
第三節 資訊交易者下單策略之實證文獻 16
第三章 研究假說 19
第四章 研究方法 21
第一節 資料與樣本選取 21
第二節 研究方法與變數定義 27
第五章 實證結果與分析 35
第一節 樣本之敘述統計 35
第二節 資訊交易者日內相關行為測度分析 44
第三節 下單積極度之Ordered probit分析 51
第六章 結論與建議 64
第一節 研究結論 64
第二節 後續研究建議 65
參考文獻 66
附錄一 委託單積極度之Ordered probit分析(包含取消單)-每支股票個別分析 70
附錄二 委託單積極度之日內Ordered probit分析(包含取消單) 78
附錄三 委託單積極度之Ordered probit分析(刪除取消單)-每支股票個別分析 86
附錄四 委託單積極度之日內Ordered probit分析(刪除取消單) 94

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