股市交易者之委託單決策：臺灣證券交易所實證分析

Traders’ Order Decisions: Evidence from the Taiwan Stock Exchange

羅湘宇(Hsiang-Yu Lo)

指導教授 ： 洪碧霞

國立暨南國際大學/管理學院/財務金融學系/碩士(2020年)

https://doi.org/10.6837/ncnu202000051

摘要

本研究使用臺灣證券交易所逐筆委託單、逐筆成交單和最佳報價數據來檢驗委託單驅動市場中各種交易者的委託單選擇決策。具體而言，本文研究目的如下：（1）控制委託單、公司特徵、時間效應和市場因素後，本文首先研究不同投資者類別的委託單類型中的逐筆委託單相關性，包括探討買賣委託單之間的逐筆委託單序列相關性的不對稱效應，以及比較機構投資者和個人投資者之間逐筆委託單序列相關性的不對稱效應。（2）檢驗流動性假說，檢測買賣價差增加是否會降低市價單的機率？（3）分析市場深度預測效果，討論同方向市場深度增加是否增加市價單的概率，而反方向市場深度降低是否減少市價單賣出（買入）的概率？誰表現出最大的市場深度預測交易行為？（4）最後，隨著一天中交易時間的增加，是否有可能減少市價單且增加限價單的可能性？本文研究發現如下：（1）委託單呈現序列正相關現象。（2）不同的投資者類型具有不同的交易策略，個人投資者在交易市場中佔大多數，而在機構投資者中，以外國投資者居多，整體結果受個人投資者影響較大。（3）本研究實證結果並不支持流動性假設。（4）本文實證結果支持短期市場深度預測效果，當同方向市場深度越大，代表委託單競爭加劇，投資人提交市價單的可能性會增加，而反方向市場深度增加，代表潛在交易對手提供較大潛在交易數量，投資人提交市價單的可能性會降低。（5）交易者較可能在早盤時提交市價單，隨著一天中交易時間的增加，提交市價單可能性降低，而提交限價單的可能性更高。

關鍵字

委託單積極性 ； 市價單 ； 限價單 ； 交易策略

並列摘要

This study employs order-by-order, trade-by-trade data and best quoted data to examine order choice decisions across various traders in a pure order-driven market. Specifically, we provide information on the following questions. (1) We empirically investigate the order serial correlation across investor classes, controlling for order-, firm-specific characteristics, time effects and market factors. We also test the asymmetric effects between buy and sell orders and between institutional and individual investors. (2) We test the liquidity hypothesis and examine whether wider bid-ask spread decreases the probability of a marketable limit order. (3) We furthermore examine the market depth forecasting effect that thicker same-side (opposite-side) depth increases (decreases) the probability of a marketable limit order. Who exhibits the greatest market depth forecasting trading behavior? (4) Finally, does the probability of a marketable limit order decrease as the trading time of day goes by? Our analysis yields the following findings. (1) We find positive serial correlation in order flows. (2) Different investor types have different trading strategies. Individuals are the dominant participants in Taiwan. Among institutional investors, foreign investors account for the largest proportion of traders. The overall trading results are mostly driven by individuals. (3) Our findings only show weak evidence of liquidity hypothesis. (4) Consistent with short-term market depth hypotheses, thicker same-side depth increases the probability of a marketable limit order; however opposite-side depth decreases the probability of a marketable limit order. (5) Stock traders prefer to place marketable limit orders early in the day. As the trading time of day passes, the probability of a marketable limit order decreases.

並列關鍵字

Order aggressiveness ； Marketable limit order ； Limit order ； Trading strategy

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