跳到主要內容

臺灣博碩士論文加值系統

(44.200.86.95) 您好!臺灣時間:2024/05/18 12:52
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:蘇逸貞
研究生(外文):SU, YI-JEN
論文名稱:個股日內委託單量變動對股價影響之研究
論文名稱(外文):The Impacts of the Variation of Intraday Order Books on Stock Price
指導教授:古永嘉古永嘉引用關係
指導教授(外文):GOO, YEONG-JIA
口試委員:游忠儒曾銘宗
口試委員(外文):YU, CHUNG-JUYSENG, MING-CHUNG
口試日期:2017-05-06
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:國際財務金融碩士在職專班
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:2017
畢業學年度:105
語文別:中文
論文頁數:66
中文關鍵詞:市場微結構委託簿委託單量邏輯斯迴歸
外文關鍵詞:Market MicrostructureOrder BookHigh Frequency Intraday DataLogistic Regression
相關次數:
  • 被引用被引用:0
  • 點閱點閱:723
  • 評分評分:
  • 下載下載:73
  • 收藏至我的研究室書目清單書目收藏:0
本研究應用高頻數據觀察市場委託單量對股價帶來的影響。試圖從中觀察出一個即時的交易模式,讓投資者可利用易獲取的最佳五檔委託資訊,盤中立即進行分析與判斷並應用在日常交易上,期望為一般投資者在臺股委託單的微結構市場,開一扇窗並帶來交易上的啟發。
本研究欲探討前期不同委託檔次單量變動對當期價格之影響效果;並探討不同交易時段之影響是否不同,最後模擬多頭及空頭交易策略是否可獲得正向報酬。觀察三檔於臺灣掛牌之上市股票最佳五檔委託揭示簿狀態,標的分別為台灣50(0050)、寶滬深(0061)及大立光(3008)。研究期間自2015年7月1日至2016年11月16日,共計340個交易日,以每5秒之日內高頻資料,各分別約有96萬筆、63萬筆及54萬筆數據,運用Logistic迴歸分析進行估計及統計檢定。
結果發現,三檔標的(台灣50、寶滬深與大立光)預測漲跌正確之平均值分別為94.66%、91.21%及94.25%。以交易時段而言,具極高命中率之做多勝率分別落在12:30~12:59、12:00~12:29及12:30~12:59之間。寶滬深之做多勝率於滬深股市中場休息時段大幅攀升;台灣50及大立光之日內做空勝率曲線呈「倒U」變化,寶滬深之做空勝率則在滬深股市中場休息時段相對較低,三檔標的之做空命中次數及勝率皆遠高於做多命中次數及勝率。最後執行模擬交易,其報酬為正的時段,台灣50於9:30~13:30之間、寶滬深於9:00~9:59及10:30~13:30之間,大立光則於9:00~9:59及12:30~13:30等交易時段皆有正報酬之績效表現。
This paper adopts high frequency intraday data to investigate the impacts of the variation of order book on stock price. In particular, the study attempts to find out a real time trading model which could enable investors, based on the best 5-set order books microstructure, to make prompt analysis and judgement on daily investment decisions. The intent is to make investment easier by glancing the disclosure book in Taiwan stock market.

The objectives of this paper are to investigates the impacts of various bid-ask volume differentials on stock price, to examine the discrepant effects during different trading hours on a trading day, and to study the asymmetric impacts between the bull and bear trading strategies. Three underlying stocks were chosen, i.e., Taiwan Top 50 ETF (0050 TT), CSI 300 ETF (0061 TT), and LARGAN (3008 TT). The second-by-second intra-day data, ranging from 2015/07/01 to 2016/11/16, a total of 340 trading days and 960,000, 630,000 and 540,000 observations, were selected respectively. The logistic regression model was utilized for estimation and statistical tests.

The result shows that the average model hit ratios for the three stocks (#0050, #0061 and #3008) were 94.66%, 91.21% and 94.25%, respectively. In terms of trading hours, the best hit ratios for long is located at 12:00~13:00, and the worst was between 9:00~9:30. Besides, the highest and lowest hit ratios for short were different in three underlying stocks. The positive returns in #0050 was located at 9:30~13:30, in #0061 was located at 9:00~9:59 and 10:30~13:30, and in #3008 was located at 9:00~9:59 and 12:30~13:30.
第壹章 緒論
第一節 研究背景及動機 1
第二節 研究目的 4
第三節 論文章節架構 5
第貳章 文獻探討 7
第一節 微結構理論相關文獻探討 7
第二節 委託單驅動市場相關研究 12
第三節 限價單策略相關研究 17
第參章 研究方法 19
第一節 樣本選取及變數定義 19
第二節 研究設計及假說 25
第三節 實證模型 28
第肆章 實證分析 33
第一節 資料初步分析 33
第二節 Logistic迴歸分析之實證結果 36
第三節 模擬投資報酬率分析 50
第伍章 結論與建議 53
第一節 結論 53
第二節 建議 55
第三節 後續研究建議 58
參考文獻目錄 59
附錄一 臺股2014/1至2017/1成交金額統計 65
一、中文文獻
1.王濟川與郭志剛著(2010),Logistic迴歸模型─方法及應用,第二版,五南書局 。
2.杜金龍著(2006),最新技術指標在台灣股市應用的訣竅,第三版,財訊。
3.沈志剛著(1995),台灣股市日內變現能力之實證研究,國立中正大學財務金融研究所,未出版碩士論文。
4.商大為著(2000),買賣委託單交易資訊對大盤加權指數報酬率影響之研究,國立台北大學企業管理研究所,未出版碩士論文。
5.陳俊宏著(2005),台股指數成交筆數與委買委賣張數對指數報酬率影響之實證研究,朝陽科技大學財務金融研究所,未出版碩士論文。
6.彭昭英著(2007),SAS與統計分析,第十四版,儒林。
7.劉維琪、劉玉珍、黃建順與潘璟靜合著(1995),「台灣股市日內價格變動分析」,證券市場發展季刊,第7卷第2期。

二、英文文獻
1.Admati, A.R. and P. Pfleiderer. (1988). “A Theory of Intraday Patterns: Volume and Price Variability.” Review of Financial Studies, Vol.1, No.1, PP.3-40.
2.Ahn, H., C.Q. Cao and H. Choe. (1998). “Decimalization and Competition among Stock Markets: Evidence from the Toronto Stock Exchange Cross-listed Securities.” Journal of Financial Market, Vol.1, No.1, PP.51-87.
3.Bacidore, J., R.H. Battalio and R.H. Jennings. (2003). “Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange.” Journal of Financial Markets, Vol.6, No.3, PP.337-362.
4.Barclay, M.J., W.G. Christie, J.H. Harris, E. Kandel and P.H. Schultz. (1999). “Effects of Market Reform on the Trading Costs and Depths of Nasdaq stocks.” Journal of Finance, Vol.54, No.1, PP.1-34.
5.Biais, B., P. Hillion and C. Spatt. (1995). “An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse.” Journal of Finance, Vol.50, No.5, PP.1655-1689.
6.Bloomfield, R. and M. O’Hara. (1998). “Does Order Referencing Matter?” Journal of Financial Economics, Vol.50, No.1, PP.3-37.
7.Bloomfield, R. and M. O’Hara. (1999). “Market Transparency: Who Wins and Who Loses?” Review of Financial Studies, Vol.12, No.1, PP.5-35.
8.Bloomfield, R. and M. O’Hara. (2000). “Can Transparent Markets Survive?” Journal of Financial Economics, Vol.55, No.3, PP.425-459.
9.Boehmer, E., G. Saar and L. YU. (2005). “Lifting the Veil: An Analysis of Pre-trade Transparency at the NYSE.” Journal of Finance, Vol.60, No.2, PP.783-815.
10.Bollen, N.P.B. and R.E. Whaley. (1998). “Are ‘Teenies’ Better?” Journal of Portfolio Management, Vol.25, No.1, PP.10-24.
11.Bouchaud, J.-P., M. Mézard and M. Potters. (2002). “Statistical Properties of Stock Order Books: Empirical Results and Models.” Quantitative Finance, Vol.2, No.4, PP.251-256.
12.Cao, C., O. Hansch and X. Wang. (2003). The Informational Content of an Open Limit Order Book. Working Paper, Pennsylvania State University.
13.Chen, S., C. Hu and Y. Zhou. (2010). Order Book Simulator and Optimal Liquidation Strategies. Technological Report, Stanford University.
14.Chung, K.H., B.F. Van Ness and R.A. Van Ness. (1999). “Limit Orders and the Bid-ask Spread.” Journal of Financial Economics, vol.53, No.2, PP.255-287.
15.Conrad, J., G. Kaul and M. Nimalendran. (1991). “Components of Short-Horizon Individual Security Returns.” Journal of Financia1 Economics, Vol.29, No.2, PP.365-384.
16.Easley, D. and M. O’Hara. (1987). “Price, Trade Size, and Information in Securities Markets.” Journal of Financial Economics, Vol.19, No.1, PP.69-90.
17.Farmer, J.D., L. Gillemot. F. Lillo, F. Mike and A. Sen. (2004). “What Really Causes Large Price Changes?” Quantitative Finance, Vol.4, No.4, PP.383-397.
18.Flood, M.D., R. Huisman, K.G. Koedijk and R.J. Mahieu. (1999). “Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets.” Review of Financial Studies, Vol.12, No.1, PP.37-59.
19.Foucault, T. (1999). “Order Flow Composition and Trading Costs in a Dynamic Limit Order Market.” Journal of Finance Market, Vol.2, No.2, PP.99-134.
20.Foucault, T., O. Kadan and E. Kandel. (2005). “Limit Order Book as a Market for Liquidity.” Review of Financial studies, Vol,18, No.4, PP.1027-1063.
21.Glosten, L.R. (1994). “Is the Electronic Open Limit Order Book Inevitable?” Journal of Finance, Vol.49, No.4, PP.1127-1161.
22.Glosten, L.R. and P.R. Milgrom. (1985). “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders.” Journal of Financial Economics, Vol.14, No.1, PP.71-100.
23.Goldstein, M.A. and K.A. Kavajecz. (2000). “Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE.” Journal of Financial Economics, Vol.56, No.1, PP.125-149.
24.Griffiths, M.D., B.F. Smith, D.A. S Turnbull and R.W. White. (2000). “The Costs and Determinants of Order Aggressiveness.” Journal of Financial Economics, Vol.56, No.1, PP.65-88.
25.Jones, C.M. and M.L. Lipson. (2001). “Sixteenths: Direct Evidence on Institutional Execution Costs.” Journal of Financial Economics, Vol.59, No.2, PP.253-278.
26.Jordan, J.V., W.E. Seale, S.J. Dinehart and D.E. Kenyon. (1998). “The Intraday Variability of Soybean Futures Prices: Information and Trading Effects.” Review of Futures Markets, Vol.7, No.1, PP.96-109.
27.Kaniel, R. and H. Liu. (2006). “So What Orders Do Informed Traders Use?” Journal of Business, Vol.79, No.4, PP.1867-1914.
28.Kavajecz, K.A. (1999). “A Specialist's Quoted Depth and the Limit Order Book.” Journal of Finance, Vol.54, No.2, PP.747-771.
29.Kyle, A.S. (1985). “Continuous Auctions and Insider Trading. ”Econometrica, Vol.53, No.6, PP.1315-1335.
30.Lee, C.M.C., B. Mucklow and M.J. Ready. (1993). “Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis.” Review of Financial Studies, Vol.6, No.2, PP.345-374.
31.Ma T., Y. Lin and H.K. Chen. (2006). “Transparency, Information Content and Order Placement Strategy.” 2006 NTU International Conference of Finance, Taipei, vol.12, 2006, PP.13-14.
32.MacKinnon, G. and H. Nemiroff. (1999). “Liquidity and Tick Size: Does Decimalization Matter?” Journal of Financial Research, Vol.22, No.3, PP.287-299.
33.Maslov, S. and M. Mills. (2001). “Price Fluctuations from the Order Book Perspective-–Empirical Facts and a Simple Model.” Physical A: Statistical Mechanics and its Applications, Vol.299, No.1, PP.234-246.
34.Morse, D. and N. Ushman. (1983). “The Effect of Information Announcements on the Market Microstructure.” The Accounting Review, Vol.58, No.2, 1983, PP.247-258.
35.Neal, R. and S.M. Wheatley. (1998). “Adverse Selection and Bid-ask Spreads: Evidence from Closed-end Funds.” Journal of Financial Markets, Vol.1, No.1, PP.121-149.
36.Osborne, M. F. M. (1959). “Brownian Motion in the Stock Market.” Operations Research, Research 7, No.2, PP.145-73.
37.Park, J. (1995). “A Market Microstructure Explanation for Predictable Variations in Stock Returns Following Large Price Changes.” Journal of Financial and Quantitative Analysis, Vol.30, No.2, PP.241-256.
38.Parlour, C.A. (1998). “Price Dynamics in Limit Order Markets.” Review of Economic Studies, Vol.11, No.4, PP.789-816.
39.Ranaldo, A. (2004). “Order Aggressiveness in Limit Order Book Markets.” Journal of Financial Markets, Vol.7, No.7, PP.53-74.
40.Ronen, T. and D.G. Weaver. (2001). “'Teenies' Anyone?” Journal of Financial Markets, Vol.4, No.3, PP.231-260.
41.Rosu, I. (2009). “A Dynamic Model of the Limit Order Book.” Review of Financial Studies, Vol.22, No.11, PP.4601-4641.
42.Schnitzlein, C.R. (1996). “Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation.” Journal of Finance, Vol.51, No.2, PP.613-636.
43.Seppi, D.J. (1992). “Block Trading and Information Revelation Around Quarterly Earnings Announcements.” Review of Financial Studies, Vol.5, No.2, PP.281-305.
44.Smith, E., J.D. Farmer, L. Gillemot and S. Krishnamurthy. (2003). “Statistical Theory of the Continuous Double Auction.” Quantitative Finance, Vol.3, No.6, PP.481-514.
45.Wood, R.A., T.H. Mclnish and J.K. Ord. (1985). “An Investigation of Transactions Data for NYSE Stocks.” Journal of Finance, Vol.40, No.3, PP.723-739.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top