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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105082

    Title: 委託單與刪單對股價變動之影響
    Other Titles: The impact of orders and cancellations on the change of stock price
    Authors: 余佳恬;Yu, Jia-Tian
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 刪單;市價單;價格變動;委託單深度失衡;cancellations;market orders;price change;order flow imbalance
    Date: 2015
    Issue Date: 2016-01-22 14:47:19 (UTC+8)
    Abstract: 本研究採用Cont et al.,(2014)所建構之限價委託簿模型為主要理論基礎,以臺灣股票市場之日內資料為樣本進行分析。探討委託單與刪單對股價變動之影響,利用考量刪單與市價單之後的委託單深度失衡(Order Flow Imbalance; OFI),研究其對價格變動之影響;隨後,將投資者分為外資、散戶、自營商及其它本土法人四類別探討個別的影響程度。最後,亦將公司市值依大小分成三類做更進一步的分析。
    This paper studies the impact of orders and cancellations on the variation of stock price from Taiwan Stock Market. The main theory, based on Cont et al., (2014), uses the order flow imbalance (OFI) to explore the price variation.
    On the one hand, we categorize the investors into four groups, foreign institutional investors, individual investors, dealers and domestic institutional investors. On the other hand, we separate company size into three classifications, large size, median size and small size.
    Our evidence indicates that the impact of orders and cancellations on the change of stock price has a significant effect and is able to predict the price change. The evidence shows that no matter what type of the investors or what size of the companies, the outcome is as the same as the previous. However, due to different trading strategies or different ability to obtain information, these causes would bring the different degree of impact on price.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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