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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73931

    Title: 探討不同交易人於臺指選擇權之下單行為
    Other Titles: Study on behavior of trader's submitted order for TXO
    Authors: 廖苡琮;Liao, Yii-Tsung
    Contributors: 淡江大學財務金融學系碩士班
    林 蒼 祥;Lin, William T.
    Keywords: 委託簿;限價單;機構投資人;造市者;台指選擇權;order book;limit order;market maker;Institutional investor;TXO
    Date: 2011
    Issue Date: 2011-12-28 17:34:05 (UTC+8)
    Abstract: 本論文使用了台指選擇權2008年8月至2009年2月之資料,以每日與每小時區間探討機構投資人其下單行為是否可以預測未來價格變化。本研究使用Harris(2005)委託簿不對稱變數與未來報酬之迴歸式做為研究方法,並加入市場實際波動率作為控制變數,觀察機構投資人由何種下單行為預測價格變化,除此之外,本文也研究市場波動不同下,各機構投資人其下單行為是否會因此而改變。
    This paper applies data from 2008/08 to 2009/02, and we use day and one hour as intraday to discuss whether institutional investors are informative about future price changes and what orders they submitted. We use Harris(2005) regression model to examine our purposes by using order book asymmetry as variables. Furthermore, we apply the sub-data to observe the behavior of submitted orders with controlling realized volatility.
    Based on our empirical study, we find that limit order books are informative about future price movements and institutional investors change their orders under different volatilities Domestic institutional investors change their orders more often, especially upon aggressive orders. Market-makers change passively, and foreign institutional investors take actions only in day-trade situation. Based on regression model, we find market-makers and domestic institutional investors are informative for future price changes in passive order book variables. However, foreign institutional investors are informative by both passive and aggressive orders. Moreover, the shorter intervals make strong evidence than the longers.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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