政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/71565
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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/71565


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    题名: 限價單或是市價單? 價格改善與延遲交易之抵換關係探討
    其它题名: Limit Order or Market Order? The Trade-Off between Price Improvement and Delayed Execution
    作者: 蔡怡純;馬黛;陳明吉
    Tsai, I-Chun;Ma, Tai;Chen, Ming-Chi
    贡献者: 財管系
    关键词: asymmetric information;order-driven market;market order;limit order
    日期: 2007-07
    上传时间: 2014-11-19 15:55:18 (UTC+8)
    摘要: We develop a dynamic model of order submission strategies in an order-driven market, where traders differ in their share valuations. Our model shows that several factors influence the uninformed trader’s choice of order to submit: the market price, the expected asset value, the probability of order execution, and the tick. In addition to these factors, the non-execution probabilities arising from improving the price of execution also influence the limit price. The findings and implications of the model can explain the empirical findings of the relationships among the spread, the asset value volatility, the expected asset value, and the trader`s order submission strategy. Further, the results suggest that overconfident traders tend to submit market orders.
    關聯: 經濟與管理論叢, 3(2), 201-223
    数据类型: article
    显示于类别:[財務管理學系] 期刊論文

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