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系統識別號 U0002-1206201113471600
中文論文名稱 各類投資人買賣不平衡對於市場雜訊的影響
英文論文名稱 The Effect of Investors’ Order Imbalance on Trading Noise
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 99
學期 2
出版年 100
研究生中文姓名 吳兆元
研究生英文姓名 Chao-Yuan Wu
學號 698530812
學位類別 碩士
語文別 中文
口試日期 2011-05-14
論文頁數 64頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-古永嘉
委員-林蒼祥
委員-蔡蒔銓
委員-孫效孔
委員-張元
中文關鍵字 雜訊  積極委託單不平衡  消極委託單不平衡 
英文關鍵字 Noise  Aggressive order imbalance  Non-aggressive order imbalance 
學科別分類 學科別社會科學商學
中文摘要 本研究利用高頻率的日內資料,研究台灣股票市場當中,外資、散戶、投信基金、其他法人與自營商等五類投資人,其買賣不平衡的交易行為對市場雜訊的日內關係。本研究所使用的資料,為台灣證交所所提供的委託檔、揭示檔與成交檔等資料。其中,利用委託檔配合揭示檔可以計算出積極的委託單不平衡與消極的委託單不平衡,而利用揭示檔,並使用Hu(2006)的方法來估計股票報酬波動中含有雜訊的部分,並分析使用積極的委託單與消極的委託單所隱含的資訊,並從結果判斷市場上的交易者哪些是資訊交易者以及那些屬於雜訊交易者或是流動性交易者。
實証結果顯示,成交時間的減少代表著資訊流入,以至於對於雜訊以及波動率影響更為劇烈,使用積極委託單的外資、散戶與自營商會減少市場雜訊的產生,平均而言較能精確預測未來市場價格走勢,為資訊交易者,而使用消極委託單的散戶與自營商會增加市場雜訊的產生,並會造成市場價格的反轉,顯示為雜訊交易者。
英文摘要 This paper uses high-frequency intraday data to discuss the dynamic relationship of the effect of order imbalance on the market trading noise from five categories investors-foreign investors, individual investors, mutual fund, other domestic institution investors and dealers in Taiwan stock market. We use the limit order book, display data and transaction data from TWSE in 2005 to 2006. We can calculate aggressive order imbalance and non-aggressive order imbalance through limit order book and display data. Then we use display data to measure market trading noise and volatility by Hu(2006) and analysis the information content of the aggressive orders and non-aggressive orders. And use this result to determine whether investors are informed traders, noise traders or liquidity traders.
The empirical result indicates that decreasing the transaction time implied the information inflow and will increase the volatility of noise and volatility. The foreign investors, individual investors and dealers which use aggressive orders will decrease market noise and can forecast the market price movements accurately are informed traders. The individual investors and dealers which use non-aggressive orders will increase market noise and will cause market price reversion are noise traders.
論文目次 目錄


第一章 前言 1
第一節 研究動機與背景 1
第二節 研究目的 4
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻回顧 7
第一節 報酬波動率與交易量的關係 7
第二節 買賣不平衡 10
第三節 時間標準化 13
第四節 資訊交易與市場的雜訊 15
第三章 研究方法 19
第一節 研究期間與樣本篩選 19
第二節 資料格式 22
第三節 變數計算 26
第四節 模型設定 33
第四章 實證結果與分析 37
第一節 資料敘述統計分析 37
第二節 全市場分析 42
第三節 各類投資人分析 45
第四節 各類投資人報酬分析 51
第五章 結論 56
參考文獻 59

圖1.1論文架構圖 6
表3-1 成交檔資料格式 24
表3-2委託檔資料格式 25
表3-3揭示檔資料格式 25
表4-1 雜訊分解敘述統計 38
表4-2交易量敘述統計表 40
表4-3 買賣不平衡敘述統計表 41
表4-4 回歸分析:全市場交易量與雜訊及波動之關係 43
表4-5迴歸分析:各類投資人買賣不平衡與雜訊及波動之關係 46
表4-6 迴歸分析:各類投資人買賣不平衡與報酬之關係 52
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