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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73971

    Title: 限價委託簿流動性對市場波動度和雜訊的關係
    Other Titles: The relation between liquidity of the limit order book and market volatility and noise
    Authors: 洪英鎧;Hung, Inn-Kain
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 限價委託簿;雜訊;流動性;波動度;limit order book;Noise;Liquidity;Volatility
    Date: 2011
    Issue Date: 2011-12-28 17:41:55 (UTC+8)
    Abstract: 本研究利用委託檔及成交檔資料重建委託簿後,使用Kang and Yeo(2008)所提出的兩種限價委託單流動性變數,並以Hu(2006)之方法估計股票報酬波動度中所含之雜訊,探討台灣股票限價委託簿流動性和市場波動度及雜訊之間的關係。之後將委託簿流動性變數分為自然人、外資和國內法人觀察其和市場雜訊的關係來推論何類投資人是造成市場雜訊的主要來源及何類投資人較具有資訊性。
    This study Based on intraday order book data and transaction data from Taiwan Stock Exchange(TSE),adopted the liquidity of the limit order book measurement of Kang and Yeo(2008) and the estimation of noise by Hu(2006). Then observed the relationship between the liquidity of the limit order book and noise in different type of investors in Taiwan stock market, and tried to infer that which investors’ behavior was information or non-information.
    The empirical result showed that the liquidity of the limit order book have causality relation in market volatility and noise. When volatility is higher , market will transfer more information with limit order book and cause volatility higher in the future. In addition, noise can transfer information with limit order book in market there are no market marker. Finally we infer that Foreign Institutional Investor was rational and individuals was irrational after we classify investor group.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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