政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53833
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53833


    Title: 投資人下單策略之研究
    Other Titles: The Studies on Investors` Order Submission Strategies
    Authors: 李志宏
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 下單積極性;資訊不對稱;市場透明度;下單策略;放空
    Order Submission Strategies;Order Aggressiveness,Information Asymmetry;Market Transparency;Short Sale
    Date: 2009
    Issue Date: 2012-10-22 11:11:15 (UTC+8)
    Abstract: 本計畫將以投資人下單策略為主軸，分成三個議題進行探討：第一 為在市場透明度(transparency)的環境下，觀察比較資訊不對稱對投資人 下單積極性(order aggressiveness)的影響，並同時檢視買賣價差、市 場深度、交易量及被動性的可能影響。第二則將以台灣證券交易所放寬 機構法人放空之限制為例，探討其對投資人包括外資、國內法人及自然 人下單積極性的影響2。第三為考量市場透明度的改變與放寬機構法人 放空之限制，觀察投資人下單積極性是否存在連續性，及下單價格積極 性與下單量(quantity)間的互動關係。本計畫將分三年逐年探討計畫之 三個議題，以期對股市投資人下單策略有更深入之瞭解。
    This Study has three objectives. The first will examine how information asymmetry affects investors order aggressiveness in different level of market transparency. In the meantime, this study also investigates the impacts of bid-ask spread, market depth, trading volume, and volatility on order aggressiveness. The second will study the effect of opening up constrain on short sale on investors order aggressiveness. The third will observe whether there exits a serial correlation of order aggressiveness and the interaction between price aggressiveness and quantity.
    Relation: 基礎研究
    學術補助
    研究期間:9808~ 9907
    研究經費:629仟元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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