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研究生:朱國鏵
研究生(外文):Kuo-Hua Chu
論文名稱:台灣股市法人與個別投資人限價單委託行為的實證分析
論文名稱(外文):The study of institutional and individual limit order submission in the Taiwan Stock Market
指導教授:王子湄王子湄引用關係
指導教授(外文):Zi-Mei Wang
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
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:2012
畢業學年度:100
語文別:中文
論文頁數:65
中文關鍵詞:機構投資人委託積極度限價單下單行為
外文關鍵詞:limit order submission behaviororder aggressivenessinstitutional investor
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本文利用逐筆委託資料來檢測台灣股市法人與個別投資人限價單委託行為,藉此檢測台灣股市影響限價單委託行為的相關議題。研究發現市場交易期間,整體投資人的委託單下單傾向集中在開盤及收盤,圖形呈現U型日內趨勢。交易期間內,限價單占整體委託單的比例,開盤時,自營商及一般法人偏好委託可市價化限價單;外資、一般法人及自營商在靠近收盤時則使用較多的非急單。此外,在委託單積極性與市場因素方面,當委託單規模越大,外資會選擇積極的委託單,而個別投資人則選擇不積極的委託單,另外會因應在大小型股及不同市場因素,投資人偏好不同積極性的委託單。最後,在發生市場極端區間的前後30分鐘裡,個別投資人交易行為對市場流動性的影響最為明顯,其次是外資。
Applying order-level data, this paper comprehensively examines the related issues on institutional and individual limit order submission in the Taiwan Stock Exchange. It was found that all of investors` the day order ratio which prefer in opening and closing during Taiwan Stock Exchange. We found limit order in all of orders which dealers and general legal person prefer aggressive limit order in opening; foreign investors, dealers and general legal person prefer limit order in closing. Between order aggressive and market conditions, investors could choose different aggressive order in big and small size`s order in different market conditions. Finally, In extremes of the market, we find that individual investors affect market liquidity after and before 30 minute and restore the market liquidity balance, the next is foreign investors.
目錄
壹、前言 1
貳、相關文獻回顧 5
参、樣本選取與研究設計 9
一、交易制度 9
二、樣本選取與資料來源 9
三、研究方法 10
肆、實證研究分析 20
一、委託單敘述統計 20
二、委託積極度的日內時間趨勢 23
三、委託單積極度的變數分析 35
四、市場波動劇烈與大跌前後的流動性需求與供給的變化 41
伍、結論 52
參考文獻 53

圖目錄
圖1.三大法人每人成交金額比率 21
圖2.委託單下單比率日內趨勢圖 28
圖3.限價單下單比率日內趨勢圖 29
圖4.限價單佔委託單區間下單比率圖 30
圖5.市場大跌狀況下之區間 43
圖6.市場波動劇烈狀況下之區間 44
圖7.市場極端狀況下之供給面 46
圖8.市場極端狀況前後30分鐘限價單的比率變動 48

表目錄
表1 敘述統計 22
表2 各種投資人委託單區間比率 32
表3 變數敘述統計 36
表4 羅吉斯迴歸分析 40
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