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政大機構典藏 > 商學院 > 會計學系 > 國科會研究計畫 > Item 140.119/3893

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3893

Title:	交易行為的獲利性：以台灣證券交易所為例
Other Titles:	Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange
Authors:	李怡宗
Keywords:	台灣;交易行為;獲利性;台灣證券交易所 Taiwan;Transaction behavior;Profitability;Taiwan Stock Exchange;Case study
Date:	2002
Issue Date:	2007-04-18 16:37:30 (UTC+8)
Publisher:	臺北市：國立政治大學會計學系
Abstract:	Data from the Taiwan Stock Exchange identify the originator of each submitted order, and there are no designated dealers or specialists. We study marketable order imbalances, i.e., the net order flow resulting from trades that demand immediacy. We distinguish imbalances by trader type (individuals, domestic institutions, foreign institutions) and by the usual size of each trader`s order. Day-to-day persistence in order imbalance is strongest for small foreign institutions and weakest for large individual traders. Such persistence emanates both from splitting orders over time and from herding, and there is little evidence that aggregate price pressures from such persistence last beyond a trading day, indicating that de facto market making is quite effective. We attempt to discern which types of traders are de facto liquidity-providers, which are likely to be informed, and which trade for liquidity reasons. The evidence indicates that all trader classes are successful market makers, large domestic institutions conduct the most informed trades, and large individuals are noise or liquidity traders.
Description:	核定金額：721700元
Data Type:	report
Appears in Collections:	[會計學系] 國科會研究計畫

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