本論文研製之－本研究探討了透明化改革對不同類型投資者在開盤時委託積極性影響。據記載，改革確實對積極性有顯著的影響。此外，自然人更關注對於揭露LOB的價格不平衡作為優先選擇，而機構投資人選擇LOB量不平衡作為優先選擇的指標

This study investigates the influence of transparency reform in the opening call on order aggressiveness of different types of investor. It is documented that the reform does have significant impact on aggressive behaviors. Further, individual investor pays more attention to price imbalance of the disclosed LOB to decide their impatient choice whereas their institutional counterpart chooses depth imbalance of the LOB as their indicator whether to submit impatient orders.

Title Page i
Approval Page ii
Authorization Letter iii
Chinese Abstract iv
English Abstract v
Acknowledgements vi
Table of Contents vii
List of Tables viii
List of Figures ix
Chapter 1 INTRODUCTION 1
Chapter 2 LITERATURE REVIEW 7
2.1 Market transparency and its influences on order placement strategy 7
2.2 Information contained in limit order book influences on order placement strategy 10
2.3 Empirical studies concerning other determinants of order aggressiveness 12
Chapter 3 DATA AND METHODOLOGY 14
3.1 Institutional Background 14
3.2 Data description 15
3.3 Methodology 17
3.3.1 Order aggressiveness classification: A two-stage binary choice model 17
3.3.2 Method designed for binary decision tree and explanatory variables 20
3.3.3 Order imbalance’s influence on order aggressiveness 22
Chapter 4 EMPIRICAL RESULTS 24
4.1 Binary decision tree 24
4.1.1 Node I: Choice of order cancellation 24
4.1.2 Node II: Choice of order impatience 27
4.2 Order imbalance’s influence on order aggressiveness 31
Chapter 5 CONCLUSION 37
5.1 Main findings 37
5.2 Policy Implications 39
5.3 Limitations and future research direction 40
References 42

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