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研究生:徐于婷
研究生(外文):Yu-ting Hsu
論文名稱:不同投資人類別的委託單不平衡對股票報酬之影響
論文名稱(外文):How The Order Imbalance of Different Investor Type Affects Stock Return
指導教授:涂登才涂登才引用關係郭淑惠郭淑惠引用關係
指導教授(外文):Teng Tsai,TuShew Huei,Kuo
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
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:2013
畢業學年度:101
語文別:英文
論文頁數:36
中文關鍵詞:股票市場流動性不同投資人類型
外文關鍵詞:stock marketdifferent type of investorliquidity
相關次數:
  • 被引用被引用:1
  • 點閱點閱:233
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
近幾年來,許多研究探討市場微結構中流動性及委託單對股票價格之影響。台灣股票市場中為委託單驅動市場,其中不存在造市者。在我們的研究中將一天的交易時間分成九個區間,我們探討流動性供給和流動性需求之委託單不平衡淨額與不同類型投資者交易行為之關係以每三十分鐘之頻率。我們發現在開盤的半小時內,提交的委託量在一天交易中極高。在高頻的基本面交易者和投機者與開盤的股票報酬呈現正相關,另外,在其餘交易時間裡,日內交易者之交易行為與同期報酬呈現正相關。
In recent years, market microstructure research has explored, and liquidity and order flows do impact price formation. In Taiwan, the TSE (Taiwan security exchange) market is completely order-driven with no market makers. In our study, split the trading day into nine half-hour periods of trading day. Our approach net trading NT dollar volume of liquidity-demanded and liquidity-supply order imbalances within the trading day for nine intervals, and divide trader types according to trading actives. We examine the contemporaneous relationship between the trading activity of different trader groups and returns by half-hour. We prove that order submission and trading activity is highest at the opening half-hour of the trading day, which implies that liquidity clusters during the half-hours. We find frequent fundamental traders and opportunistic traders have highest correlation with stock return during opening half-hour. In addition, day traders conduct trading activities with contemporaneous return movements during closing and middle of trading day.
摘要 i
ABSTRACT ii
1. Introduction 3
2. Literature Reviews 6
3. Methodology 9
3.1 Micro-momentum at the Open and Close 9
3.2 Identifying Trader Type 9
3.3 Measuring Variable 11
3.3.1 Order imbalance variables 11
3.3.2 Return calculations 12
3.4 Activity of Trader in micro-momentum 12
3.4.1 Contemporaneous Relationship 12
4. Empirical result and Analysis 14
4.1 Data Description 14
4.2 Descriptive Statistics 15
4.3 Empirical Analysis 16
5. Conclusion 18
Reference 20
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