委託單失衡現象、流動性與報酬的日內動態關係

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Title:	委託單失衡現象、流動性與報酬的日內動態關係
Other Titles:	The dynamic relationship of intraday order imbalance, liquidity and return
Authors:	黃鈺清;Huang, Yu-ching
Contributors:	淡江大學財務金融學系碩士班林蒼祥
Keywords:	委託單失衡;流動性;Order imbalance;Liquidity
Date:	2010
Issue Date:	2010-09-23 15:25:32 (UTC+8)
Abstract:	本研究利用高頻率的日內資料，研究台灣股票市場中，散戶、外資及投信基金等五類投資人，其買賣交易活動對股票價格影響的日內動態關係。研究中所使用的資料，為台灣證交所所提供的「委託檔」、「揭示檔」資料。其中，委託檔資料內含的資訊，可以得知個別委託單的買賣別、下單投資人的身分別，以及其委託價量等資料，並依據揭示檔所揭露的最佳五檔未成交買賣價格，找出委託價格落在最佳五檔內的委託單，接著使用Lee, Liu, Roll and Subrahmanyam (2004)所定義委託單失衡的計算方式，進一步分析造成各類投資人委託單失衡的原因，以及不同市場情況(如：流動性)下，各類投資人日內委託單失衡與報酬的關聯性。 In this study, we use high-frequency intraday data to investigate the dynamic relationship of the effect of trading activities on the stock price from five categories of investors─ individual investors, foreign investors, mutual fund, dealers, and other domestic institution investors in Taiwan stock market. We have acquired the complete limit order and display data of all traders from TWSE in 2005 and 2006. The order data include the date and time of the order, a stock identifier, order type (buy or sell), order price limit, number of shares and the identity of the trader. Besides, according to the display data, we can pick up the limit orders that the order price limit within the best five ticks. Then we improve the definition of Lee, Liu, Roll and Subrahmanyam (2004) to measure the amount of order imbalance. Finally, we attempt to discern the sources of order imbalance and the short-horizon return predictability from order imbalance across different classes of investors under different market condition, like liquidity.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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