資訊不對稱型態與委託單失衡之關聯性

The Relationships between Asymmetric Information Types and Order Imbalance

張家齊(Chia-Chi Chang)

指導教授 ： 邱建良

共同指導教授 ： 黃健銘

淡江大學/商管學院/財務金融學系碩士班/碩士(2018年)

https://doi.org/10.6846/TKU.2018.00795

摘要

本論文主要探討資訊不對稱導致股市委託單失衡狀況，對報酬和流動性做分析。本文利用台灣證券交易所提供之日內資料，並採用台灣50指數之成分股作為研究樣本，樣本期間涵蓋2011年1月3日至2013年12月31日之日內資料，並針對2012年陸資開放後是否影響委託單失衡情形做為觀察重點，研究方法則以混合迴歸及兩階段估計法對資料進行分析探討。
實證結果發現陸資開放來台後，因制度問題導致成交量不升反降；此外，委託單失衡越嚴重時股市報酬和流動性會越高，顯示市場存在資訊不對稱讓資訊交易者能獲取超額報酬。我們也發現前一期流動性對於股價報酬在陸資開放後轉變成負相關，顯示報酬出現反轉修正。至於假日效果部分，在加入假日效果的因子後，委託單失衡和流動性變成負相關性，顯示在考量假日不確定因素下，投資人不願意抱股過年導致成交量下降，量減少亦進一步導致委託單失衡更為嚴重。

關鍵字

委託單失衡 ； 流動性 ； 資訊不對稱 ； 假日效果

並列摘要

Abstract:
This thesis mainly investigates the asymmetric information leading to order imbalance in the stock market, and the effect of return and liquidity. We use the intraday data provided by the Taiwan Stock Exchange and use the constituent stocks of Taiwan 50 index as the research sample. The data cover the period from January 3, 2011 to December 31, 2013. In particular, this study will focus on the impacts of the order imbalance after the market deregulation on Chinese qualified domestic institutional investors (QDII) investment on stock market. The pool regression model and two-stage estimation are used in our empirical estimation.
Empirical results show that after deregulating the Chinese QDII, the trading volume does not increase because of the system problems. In addition, we found that the more serious order imbalance, the higher return and liquidity, indicating that the asymmetry information in the market allows information traders to obtain abnormal return. We also found that the previous period liquidity turned into a negative correlation with the stock return after opening Chinese QDII, indicating a correction of the return. As for the holiday effect part, after the factor of holiday effect is added, the order imbalance and the liquidity become negatively correlated. It shows that under the uncertainty of the holiday, the investors are not willing to hold the stock for the New Year, resulting in a decrease in the volume, and the order imbalance is even more serious.

並列關鍵字

order imbalance ； liquidity ； asymmetric information ； holiday effect

參考文獻

參考文獻

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