NASDAQ最大漲幅避險型個股之日內報酬率-買賣單不對稱關係

Intraday Return-Order Imbalance Relation in NASDAQ Hedging Top Gainers

周明錦(Ming-Jin Chou)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.01759

摘要

過去的研究顯示日買賣單不對稱關係對股價報酬率有顯著的關係存在。亦有研究證明套利型股票與避險型股票所隱含資訊內容不同，其報酬表現也有顯著不同。本文即想探討避險型股票的買賣單不對稱與其股價表現是否有顯著關係存在。且我們認為日內買賣單應能反映最新的市場資訊，對股價的影響力應比日買賣單更大，因此本文研究我們採用日內資料作為分析對象。
本文所使用的模型是GARCH (1,1)，分析避險行為發生當日與次日，買賣單不對稱與股價報酬關係。結果顯示GARCH(1,1) 能有效捕捉時間序列資料的特性，包含當日與次日。在避險當日的買賣單與股價間存在強烈的正向關係，但是到了避險次日，這樣的關係就減弱。此結果顯示投資人避險行為是相當短暫的，通常只持續一日。
最後，我們探討公司規模大小是否會影響買賣單不對稱與報酬的關係。使用簡單迴歸模型，結果發現，的確有正向關係存在，這結果可幫助投資人挑選具有避險特質的公司。

關鍵字

買賣單不對稱 ； 價量關係

並列摘要

Order Imblances have been proved to have a significant relationship with stock return. Previous researches also shows speculative trades generate different stock return pattern with hedging trades. In this paper, we want to observe the relation between order and intraday return of hedging stock when hedging event happens and the continuing day.
In our research, we find GARCH (1,1) model can capture the time series data well. In the event day, contemporaneous order imbalances have a significant effect on stocks return. On the contrary, the relationship between order imbalances and stock return become unobvious in the second day. It means the hedging activities only happen in a short time.
In addition, we use simple regression model to test size effect. The result shows there is significant relationship between market capitalization and the influence of order imbalance to its stock return. This result can help us to screen hedging stock.

並列關鍵字

Order imbalance ； GARCH

參考文獻

1. Admati, A. and P. Pfleiderer, 1988, “A Theory of Intraday Patterns: Volume and Price Variability,” Review of Financial Studies, 1, 3-40.

2. Back, K., C. H. Cao, and G. A. Willard, 2000, “Imperfect Competition among Informed Traders,” Journal of Finance,55, 2117-2155.

3. Barclay, M. and J. Warner, 1993, “Stealth Trading and Volatility,” Journal of Financial Economics, 34, 281-305.

4. Barclay, M. J., T. Hendershott and D. T. Mccormick, 2003, “Competition Among Trading Venues: Information and Trading on Electronic Communications Networks,” Journal of Finance 58, 2637-2666.

5. Bessembinder, H. and M. Kaufman, 1997, “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks,” Journal of Financial Economics 46, 293-320.