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博碩士論文 etd-0024114-033504 詳細資訊
Title page for etd-0024114-033504
論文名稱
Title
股市主力交易行為與委託簿資訊內涵之互動
Interaction between trading behavior of main investors and information content of limit order book in Taiwan stock market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
56
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2013-07-08
繳交日期
Date of Submission
2014-01-24
關鍵字
Keywords
買賣日報表、主力交易行為、累積異常報酬率、向量自我迴歸模型、資訊內涵
buy and sell trading records, limit order book, information content, CAR
統計
Statistics
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The thesis/dissertation has been browsed 5762 times, has been downloaded 2588 times.
中文摘要
長久以來,掌握股市主力之交易策略,為市場上投資人急欲了解並跟隨以提
高獲利的方式。許多股市分析與看盤軟體,亦將主力券商分點分析資訊納入,望
可提供散戶投資人更多選股的方向。惟因股市主力交易行為隱藏於散戶投資者中,
於學術研究中較少以股市主力為議題深入研究。
本研究以台灣股票市場 2012 年 10 月至 2013 年 1 月之買賣日報表與日內五
檔揭示資料進行實證研究,以券商成交量比重概念定義主力,探討主力交易行為
與股市委託簿資訊間的互動關係。實證結果發現,主力確實為市場中最積極之交
易族群,而屬於國內券商之長期主力,具有長期買進同檔股票之特性。於累積異
常報酬計算上,國內券商總公司為長期主力中最具有買進資訊之投資者;而每日
淨部位較低之國內券商分行,則於賣出時能賣於高點的比率較主力來的高。相較
於外資主力,國內券商總行主力與分行主力分別於買進與賣出時,具有較佳的擇
時能力,隱含著較多的主力投資者於其中。
最後以 Hasbrouck(1991)交易相關之變異貢獻比率,顯示具長期主力交易之
股票其資訊內涵較無主力成交股來的高,於淨部位比率定義下,此變異貢獻程度
更高。具長期主力交易個股,其交易行為較具有資訊性。又當主力於同檔個股操
作期間越長時,交易的資訊程度亦隨之提升。
Abstract
The trading strategy of the main investors of stock market became a popular is-
sue recently. Many stock analysis and trading platform software have integrated the
information of main investors’ trading behavior and provided it to uninformed inves-
tors as trading suggestions. Since the trading behavior of main investors is mingled
with small investors, few empirical studies have focused on this issue.
This paper examines the interaction between the trading behavior of main inves-
tors and the information content of limit order book using the record of buy and sell
trading of each broker branch and intraday data from Taiwan stock market. The defi-
nition of main investors is based on the concept of daily trading volume and net posi-
tion, which belongs to the large traders. We find that the main investors are the most
aggressive one in trading, and the trading pattern of local brokers is buying the same
stock in the long run. According to the comparison of cumulative abnormal return, the
head office of local brokers is the most informative stock buyer in the market. Con-
cerning the limit order book information, we show that the stocks with long-term
main investors are more informative than the non-main investors category. The trad-
ing informativeness is higher as the longer trading period of main investors.
目次 Table of Contents
學位論文審定書 ............................................................................................................. i
致謝辭 ............................................................................................................................ ii
摘要 ............................................................................................................................... iv
Abstract .......................................................................................................................... v
目錄 ............................................................................................................................... vi
圖次 .............................................................................................................................. vii
表次 .............................................................................................................................viii
第一章 緒論 .................................................................................................................. 1
第一節 研究動機與目的 ...................................................................................... 1
第二節 研究貢獻 .................................................................................................. 3
第三節 研究架構 .................................................................................................. 4
第二章 文獻探討 .......................................................................................................... 5
第一節 委託簿資訊內涵與效率價格 .................................................................. 5
第二節 台灣股市資訊與投資人交易分析 .......................................................... 6
第三章 樣本資料與研究方法 ...................................................................................... 8
第一節 樣本描述 .................................................................................................. 8
第二節 實證模型 .................................................................................................. 9
第四章 實證分析 ........................................................................................................ 15
第一節 股票主力分析 ........................................................................................ 15
第二節 敘述統計 ................................................................................................ 23
一、主力成交價位積極度 .......................................................................... 23
二、主力持有期間 ...................................................................................... 24
三、主力相對績效 ...................................................................................... 29
四、主力券商當沖獲利 .............................................................................. 32
第三節 主力交易之累積異常報酬 .................................................................... 34
第四節 主力交易行為與委託簿資訊內涵 ........................................................ 40
第五章 結論與後續研究建議 .................................................................................... 44
第一節 結論 ........................................................................................................ 44
第二節 後續研究建議 ........................................................................................ 45
參考文獻 ...................................................................................................................... 46
參考文獻 References
一、 中文部分
陳志萍,「應用關連式規則分析於主力券商分行之操作策略」,國立清華大學科技
管理學院高階經營主管管理碩士在職專班碩士論文,民國九十八年。
廖俊智,「台股投資風格內與風格間價格移動關係之研究」,國立雲林科技大學財
物金融系研究所碩士論文,民國九十七年。
二、 英文部分
Anand, A., Chakravarty, S., and Martell, T., 2005, “Empirical Evidence on the
Revolution of Liquidity: Choice of Market versus Limit Orders by Informed and
Uninformed Traders,” Journal of Financial Markets, 8(3), 288-308
Bloomfield, R., O’Hara, M., and Saar, G., 2003, “The “Make or Take” Decision in the
Electronic Market: Evidence on the Evolution of Liquidity,” Journal of Finance
Economics, 75, 165-199
Boehmer, E., and Kelley K., 2009, “Institutional Investors and the Informational
Efficiency of Prices,” The Review of Financial Studies, 22, 3563-3594
Bozcuk, A., and Lasfer, M., 2005, “The Information Content of Institutional Trades on
the London Stock Exchange,” Journal of Financial and Quantitative Analysis,
40, 621-644
Cao, C. and Wang, X., 2009, “The Information Content of an Open Limit Order
Book,” Journal of Futures Markets, 29, 16-41
Chen H. K., Lin Y., and Ma, T., 2006, “Transparency, Information Content and Order
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Easley, D., and O’Hara M.,1992, “Time and the Process of Security Price
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Glosten, L., 1994, “Is the Electronic Open Limit Order Book Inevitable?,” Journal of
Finance, 49, 1127-1161
Hasbrouck, J.,1991a, “The Summary Informativeness of Stock Trades: An
Econometric Analysis,” The Review of Financial Studies, 4,571-595
Hasbrouck, J.,1991b, “Measuring the Information Content of Stock Trades,” The
Review of Financial Studies, 46, 179-207
Lee, Y. T., Lin, J. C., and Liu, Y. J., 1999, “Trading Patterns of Big versus Small
Players in an Emerging Market: An Empirical Anaysis,” Journal of Banking and
Finance, 23, 701-725
Lee, Y. T., Liu, Y. J., Roll, R., and Subrahmanyam, A., 2004, “Order Imbalances and
Market Efficiency: Evidence from the Taiwan Stock Exchange,” Journal of Fi-
nancial and Quantitative Analysis, 39
Lin W., Tsai S., Zheng Z., and Lung, P., 2012, “The Information Content of the Limit
Order Book and the Corresponding Trading Strategy,” Conference on East Asia
Finance
Rock, K., 1996, “The Specialist’s Order Book and Price Anomalies,” Review of
Financial Studies, 9, 1-20
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