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題名 委託單下單積極度研究-以台灣股市為例
作者 張家耀
貢獻者 劉玉珍
張家耀
關鍵詞 委託單
積極度
日期 2007
上傳時間 6-May-2016 16:36:47 (UTC+8)
摘要 委託單導向市場中，限價單是證券市場上扮演提供流動性的腳色，同時也是消費流動性的腳色，十分重要。本研究選取以台灣股市交易量較佳之個股為研究標的，對限價單的積極度進行研究。第一部份以所選取之樣本股票為研究。在台灣的市場中，個人投資者佔市場比例遠大於國外市場，故個人投資者為主的市場，委託單積極度會因此而有所差異。結果發現賣方會因價格趨勢增加而增加委託單積極度，賣買雙方皆會因波動度增加而增加委託單積極度，顯示出個人投資者對於委託單下單的不理性。第二部份以交易量不同分組以代表資訊不對稱分組，結果發現資訊不對稱較嚴重之組別，整體委託單積極度會較低，乃由於個人投資者資訊相對較差，導致委託單積極度較低。第三部份以投資人不同來分組，結果發現研究變數對於非自然人較不重要，且非自然人的委託單積極度研究結果與結論一致。第四部份討論非自然人在交易量不同群組中的影響，結果發現非自然人在交易量較小群組中，變數對自然人影響較小，且非自然人委託單積極度隨之增加。
參考文獻 1. 呂清標, 1977, 台灣股票市場個人投資行為之研究, 國立政治大學, 企業管理學系碩士班.
     2. 曾亞亭, 2005, 機構投資人與資訊透明度關聯性之研究, 國立政治大學, 會計研究所.
     3. 翁慈青, 2003, 股市過度自信與自信不足之投資行為研究, 中原大學, 會計研究所.
     4. 拾巳寰, 1990, 臺灣股票市場機構投資人與小額投資人股票購買行為差異性之研究, 逢甲大學, 經濟研究所.
     
     5. Robert A. Schwartz, 1991, Reshaping the equity markets, a Guide for the 1990s.
     6. Robert A. Schwartz, 2006, The equity trader course.
     7. Ahn, H., K. Bae, and K. Chan, 2001, Limit orders, depth, and volatility: evidence from the stock exchange of Hong Kong, Journal of Finance 56, 767-788.
     8. Amihud, Y. and H. Mendelson, 1986, Asset pricing and the bid-ask spread. Journal of Financial Economics 17(2), 223-249.
     9. Brennan, M., and A. Subrahmanyam, 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics, 38, 361-381.
     10. Beber, Alessandro, and Cecilia Caglio, 2005, Order submission strategies and information : empirical evidence from the NYSE, Working paper, University of Pennsylvania.
     11. Biais, B., P. Hillion, and C. Spatt, An empirical analysis of the limit-order book and the order flow in the paris Bourse, Journal of Finance 50, 1655-1689.
     12. Chung, Kee H., Bonnie F. Van Ness, and Robert A. Van Ness, 1999, Limit orders and the bid-ask spread, Journal of Financial Economics 53, 255–287.
     13. Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz, 1999. “Do foreign investors destabilize stock markets? The Korean experience in 1997” Mimeo, Ohio State University
     14. Chan, NT., C. Shelton, 2001, An Electronic market-maker, Artificial Intelligence Lab, MIT, AI Memo,
     15. Conrad, J., K. M. Johnson, and S. Wahal, 2003, Institutional trading and alternative trading system, Journal of Financial Economics 70, 99-134.
     16. Cheung, W. and F. Song, Liquidity, 2005, Size and cycle of order flow : evidence from Hong Kong stock exchange, Working paper, The University of Hong Kong.
     17. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Financial, 55, 2017–2069.
     18. Diamond, D., and Verrecchia R., 1991, Disclosure, liquidity, and the cost of capital, Journal of Finance, 46, 1325-1359.
     19. De Bondt, W. F. M., 1993, Betting on trends: Intuitive forecasts of financial risk and Return, International Journal of Forecasting 9, 355-371.
     20. De Bondt, W. F. M., 1998, A portrait of the individual investor, European Economic Review 42,831-844.
     21. Eadley, D., N. Kiefer, M. O’Hara, and J. Paperman, 1996, Liquidity, information, and infrequently traded stock, Journal of Finance 51, 1405–1436.
     22. Fischhoff, B., P. Slovic, and S. Lichtenstein, 1977, Knowing with uncertainty: the appropriateness of extreme confidence, Journal of Experimental Psychology:Human Perception and Performance 1,288-299.
     23. Foucault, Thierry, 1999, Order flow composition and trading costs in a dynamic limit order market, Journal of Financial Markets 2, 193–226.
     24. Glosten, Lawrence R., 1994, Is the electronic open limit order book inevitable? Journal of Finance 49, 1127–1161.
     25. Griffiths, M., B. Smith, D. Turnbull, and R. White, 2000, The cost and determinants of order aggressiveness, Journal of Financial Economics 56, 65-88.
     26. Gervais, Simon, and Terrance Odean, 1998, Learning to be overconfident, Working paper, Wharton School, University of Pennsylvania.
     27. Grinblatt, Mark, and Matti Keloharju, 2001, What makes investors trade?, Journal of Finance 56, 589-616
     28. Handa, Puneet, and Robert A. Schwartz, 1996, Limit order trading, Journal of Finance 51, 1835–1861.
     29. Handa, Puneet, and Robert A. Schwartz, 1996, How Best to Supply Liquidity to a Securities Market, Journal of Portfolio Management ,winter 1996 22,44-51.
     30. Handa, Puneet, Robert A. Schwartz, and Ashish Tiwari, 1998, The ecology of an order-driven market, Journal of Portfolio Management, winter 1998 24, 47-55.
     31. Handa, Puneet, Robert A. Schwartz, and Ashish Tiwari, 1998, Determinants of the bid-ask spread in an order driven market, Working paper, University of Iowa.
     32. Harris, Lawrence, and Joel Hasbrouck, 1996, Market vs. limit orders: The SuperDOT evidence on order submission strategy, Journal of Financial and Quantitative Analysis 31, 213–232.
     33. Lo, I, and SG Sapp, 2005, Price Aggressiveness and Quantity: how are they determined in a limit order market?, Financial Markets Department, the Bank of Canada.
     34. Jackson, Andrew, 2003, The aggregate behavior of individual investors, Working paper, London Business School.
     35. Keim, D., and Ananth Madhavan, 1995, Anatomy of trading process: Empirical evidence on the behavior of institutional trader, Journal of financial Economics 37, 371-398.
     36. Ng, Lilian, and Fei Wu, 2005, The trading behavior of institutions and individuals in Chinese equity markets, 2005 China International Conference in Finance Kunming, July, 2005.
     37. Odean, Terrance, 1998a, Are investors reluctant to realize their losses?, Journal of Finance 53, 1775–1798.
     38. Odean, Terrance, 1998b, Volume, volatility, price, and profit when all traders are above average, Journal of Finance 53, 1887–1934.
     39. Parlour, Christine A., 1998, Price dynamics in limit order markets, Review of Financial Studies 11, 789–816.
     40. Parlour, Christine A., and Duane J. Seppi, 1998, Liquidity based competition for the order flow, Working Paper, Carnegie-Mellon University.
     41. Ranaldo, A., 2004, Order Aggressiveness in limit order book markets, Journal of Financial Market 7, 53-74.
     42. Tversky, A., and D. Kahneman, 1973, Availability: a heuristic for judging frequency and probability, Cognitive Psychology 5, 207-232.
     43. Tversky, A., and D. Kahneman, 1974, Judgment under uncertainty: Heuristics and Biases, Science 185, 1124-1131.
     44. Verhoeven, P., Ching S., and Ng H., 2004, Determinants of the decision to submit market or limit order on the ASX, Pacific-Basin Finance Journal 12, 1-18.
描述 碩士
國立政治大學
財務管理研究所
94357023
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094357023
資料類型 thesis
dc.contributor.advisor 劉玉珍zh_TW
dc.contributor.author (Authors) 張家耀zh_TW
dc.creator (作者) 張家耀zh_TW
dc.date (日期) 2007en_US
dc.date.accessioned 6-May-2016 16:36:47 (UTC+8)-
dc.date.available 6-May-2016 16:36:47 (UTC+8)-
dc.date.issued (上傳時間) 6-May-2016 16:36:47 (UTC+8)-
dc.identifier (Other Identifiers) G0094357023en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94425-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 94357023zh_TW
dc.description.abstract (摘要) 委託單導向市場中，限價單是證券市場上扮演提供流動性的腳色，同時也是消費流動性的腳色，十分重要。本研究選取以台灣股市交易量較佳之個股為研究標的，對限價單的積極度進行研究。第一部份以所選取之樣本股票為研究。在台灣的市場中，個人投資者佔市場比例遠大於國外市場，故個人投資者為主的市場，委託單積極度會因此而有所差異。結果發現賣方會因價格趨勢增加而增加委託單積極度，賣買雙方皆會因波動度增加而增加委託單積極度，顯示出個人投資者對於委託單下單的不理性。第二部份以交易量不同分組以代表資訊不對稱分組，結果發現資訊不對稱較嚴重之組別，整體委託單積極度會較低，乃由於個人投資者資訊相對較差，導致委託單積極度較低。第三部份以投資人不同來分組，結果發現研究變數對於非自然人較不重要，且非自然人的委託單積極度研究結果與結論一致。第四部份討論非自然人在交易量不同群組中的影響，結果發現非自然人在交易量較小群組中，變數對自然人影響較小，且非自然人委託單積極度隨之增加。zh_TW
dc.description.tableofcontents 第一章 、緒論 1
     第一節 、研究動機 1
     第二節 、研究目的 3
     第三節 、研究架構 4
     第二章 、文獻探討 6
     第一節 、交易下單方式及交易者在市場中的形式與策略行為 6
     第二節 、下單策略與價差之間的關係與交易者行為 8
     第三節 、下單策略與市場深度之間的關係與交易者行為 10
     第四節 、下單策略與價格變化之間的關係與交易者行為 11
     第五節 、下單策略與波動度之間的關係與交易者行為 12
     第六節 、散戶與機構投資人投資行為差異 14
     第三章 、研究方法 18
     第一節 、設立研究假說 18
     第二節 、研究資料、研究期間與市場制度 20
     第三節 、研究樣本的選取 21
     第四節 、研究方法 21
     第五節 、研究流程與模型變數定義 22
     第四章 、實證結果與分析 26
     第一節 、全體樣本實證結果分析 28
     第二節 、交易量分群實證結果分析 36
     第三節 、投資人分群實證結果分析 42
     第四節 、交易量與投資人分群實證結果分析 45
     第五章 、結論與建議 47
     第一節 、總結 47
     第二節 、建議 49
     參考文獻: 50		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094357023en_US
dc.subject (關鍵詞) 委託單zh_TW
dc.subject (關鍵詞) 積極度zh_TW
dc.title (題名) 委託單下單積極度研究-以台灣股市為例zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. 呂清標, 1977, 台灣股票市場個人投資行為之研究, 國立政治大學, 企業管理學系碩士班.
     2. 曾亞亭, 2005, 機構投資人與資訊透明度關聯性之研究, 國立政治大學, 會計研究所.
     3. 翁慈青, 2003, 股市過度自信與自信不足之投資行為研究, 中原大學, 會計研究所.
     4. 拾巳寰, 1990, 臺灣股票市場機構投資人與小額投資人股票購買行為差異性之研究, 逢甲大學, 經濟研究所.
     
     5. Robert A. Schwartz, 1991, Reshaping the equity markets, a Guide for the 1990s.
     6. Robert A. Schwartz, 2006, The equity trader course.
     7. Ahn, H., K. Bae, and K. Chan, 2001, Limit orders, depth, and volatility: evidence from the stock exchange of Hong Kong, Journal of Finance 56, 767-788.
     8. Amihud, Y. and H. Mendelson, 1986, Asset pricing and the bid-ask spread. Journal of Financial Economics 17(2), 223-249.
     9. Brennan, M., and A. Subrahmanyam, 1995, Investment analysis and price formation in securities markets, Journal of Financial Economics, 38, 361-381.
     10. Beber, Alessandro, and Cecilia Caglio, 2005, Order submission strategies and information : empirical evidence from the NYSE, Working paper, University of Pennsylvania.
     11. Biais, B., P. Hillion, and C. Spatt, An empirical analysis of the limit-order book and the order flow in the paris Bourse, Journal of Finance 50, 1655-1689.
     12. Chung, Kee H., Bonnie F. Van Ness, and Robert A. Van Ness, 1999, Limit orders and the bid-ask spread, Journal of Financial Economics 53, 255–287.
     13. Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz, 1999. “Do foreign investors destabilize stock markets? The Korean experience in 1997” Mimeo, Ohio State University
     14. Chan, NT., C. Shelton, 2001, An Electronic market-maker, Artificial Intelligence Lab, MIT, AI Memo,
     15. Conrad, J., K. M. Johnson, and S. Wahal, 2003, Institutional trading and alternative trading system, Journal of Financial Economics 70, 99-134.
     16. Cheung, W. and F. Song, Liquidity, 2005, Size and cycle of order flow : evidence from Hong Kong stock exchange, Working paper, The University of Hong Kong.
     17. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Financial, 55, 2017–2069.
     18. Diamond, D., and Verrecchia R., 1991, Disclosure, liquidity, and the cost of capital, Journal of Finance, 46, 1325-1359.
     19. De Bondt, W. F. M., 1993, Betting on trends: Intuitive forecasts of financial risk and Return, International Journal of Forecasting 9, 355-371.
     20. De Bondt, W. F. M., 1998, A portrait of the individual investor, European Economic Review 42,831-844.
     21. Eadley, D., N. Kiefer, M. O’Hara, and J. Paperman, 1996, Liquidity, information, and infrequently traded stock, Journal of Finance 51, 1405–1436.
     22. Fischhoff, B., P. Slovic, and S. Lichtenstein, 1977, Knowing with uncertainty: the appropriateness of extreme confidence, Journal of Experimental Psychology:Human Perception and Performance 1,288-299.
     23. Foucault, Thierry, 1999, Order flow composition and trading costs in a dynamic limit order market, Journal of Financial Markets 2, 193–226.
     24. Glosten, Lawrence R., 1994, Is the electronic open limit order book inevitable? Journal of Finance 49, 1127–1161.
     25. Griffiths, M., B. Smith, D. Turnbull, and R. White, 2000, The cost and determinants of order aggressiveness, Journal of Financial Economics 56, 65-88.
     26. Gervais, Simon, and Terrance Odean, 1998, Learning to be overconfident, Working paper, Wharton School, University of Pennsylvania.
     27. Grinblatt, Mark, and Matti Keloharju, 2001, What makes investors trade?, Journal of Finance 56, 589-616
     28. Handa, Puneet, and Robert A. Schwartz, 1996, Limit order trading, Journal of Finance 51, 1835–1861.
     29. Handa, Puneet, and Robert A. Schwartz, 1996, How Best to Supply Liquidity to a Securities Market, Journal of Portfolio Management ,winter 1996 22,44-51.
     30. Handa, Puneet, Robert A. Schwartz, and Ashish Tiwari, 1998, The ecology of an order-driven market, Journal of Portfolio Management, winter 1998 24, 47-55.
     31. Handa, Puneet, Robert A. Schwartz, and Ashish Tiwari, 1998, Determinants of the bid-ask spread in an order driven market, Working paper, University of Iowa.
     32. Harris, Lawrence, and Joel Hasbrouck, 1996, Market vs. limit orders: The SuperDOT evidence on order submission strategy, Journal of Financial and Quantitative Analysis 31, 213–232.
     33. Lo, I, and SG Sapp, 2005, Price Aggressiveness and Quantity: how are they determined in a limit order market?, Financial Markets Department, the Bank of Canada.
     34. Jackson, Andrew, 2003, The aggregate behavior of individual investors, Working paper, London Business School.
     35. Keim, D., and Ananth Madhavan, 1995, Anatomy of trading process: Empirical evidence on the behavior of institutional trader, Journal of financial Economics 37, 371-398.
     36. Ng, Lilian, and Fei Wu, 2005, The trading behavior of institutions and individuals in Chinese equity markets, 2005 China International Conference in Finance Kunming, July, 2005.
     37. Odean, Terrance, 1998a, Are investors reluctant to realize their losses?, Journal of Finance 53, 1775–1798.
     38. Odean, Terrance, 1998b, Volume, volatility, price, and profit when all traders are above average, Journal of Finance 53, 1887–1934.
     39. Parlour, Christine A., 1998, Price dynamics in limit order markets, Review of Financial Studies 11, 789–816.
     40. Parlour, Christine A., and Duane J. Seppi, 1998, Liquidity based competition for the order flow, Working Paper, Carnegie-Mellon University.
     41. Ranaldo, A., 2004, Order Aggressiveness in limit order book markets, Journal of Financial Market 7, 53-74.
     42. Tversky, A., and D. Kahneman, 1973, Availability: a heuristic for judging frequency and probability, Cognitive Psychology 5, 207-232.
     43. Tversky, A., and D. Kahneman, 1974, Judgment under uncertainty: Heuristics and Biases, Science 185, 1124-1131.
     44. Verhoeven, P., Ching S., and Ng H., 2004, Determinants of the decision to submit market or limit order on the ASX, Pacific-Basin Finance Journal 12, 1-18.		zh_TW