委託簿失衡的波動度及偏態對臺灣股票市場投資人委託積極度之影響

The Effects of the Volatility and Skewness of Order Imbalance on Order Aggressiveness in the Taiwan Stock Market

趙珮伶(Chao Pei-Ling)

指導教授 ： 蔡蒔銓 ； 賴慧文

國立臺灣師範大學/管理學院/管理研究所/碩士(2021年)

https://doi.org/10.6345/NTNU202100909

摘要

臺灣股票市場於2003年1月2日實施最佳五檔的價量揭露措施，委託簿的資訊成為投資人在下單時重要的參考之一，因此本研究主要探討委託簿的資訊如何影響投資人的委託積極度。本研究將投資人類型分為國內法人、外資及自然人，並透過Tobit模型來分析委託簿失衡的情況對投資人委託積極度之影響。
實證結果顯示，委託簿失衡的波動度及偏態，對投資人的委託積極度有一定程度之影響。外資因身為資訊交易者，即使是在委託簿失衡的波動度及偏態上升時，其委託積極度仍然不減反增。自然人的委託積極度也會提高，可能是因為行為偏誤之因素，而國內法人似乎採取較保守的投資策略，其委託積極度會降低。
在不同股票類型下，國內法人及外資對大型股有較深入的分析及研究，因此相較於在交易小型股時，會耐心的等待交易機會，其委託積極度會降低。相反的，自然人偏好持有小型股，可能較缺乏對大型股的分析，其委託積極度反而會提高來達到成交的目的。此外，當市場處於樂觀期時，投資人對市場抱持較正面的看法，即使委託簿失衡的波動度及偏態上升，相較於悲觀期外資及自然人的委託積極度仍會提高，而國內法人可能是採取逆勢交易的策略，當市場處於悲觀期時，其委託積極度反而提高。

關鍵字

委託積極度 ； 委託簿失衡 ； 波動度 ； 偏態 ； Tobit模型

並列摘要

With the implementation of the best five bid/ask price and volume disclosure measure in the Taiwan stock market on 2 January 2003, information from the order book has become an important reference for investors when investors are placing orders. Therefore, this study focuses on how the information in the order book affects investors' aggressiveness to place orders. In this study, the types of investors were categorized into domestic institution investors, foreign institution investors and retail investors, and the Tobit model was used to analyze the impact of imbalance in the order book on investors' aggressiveness to place orders.
The empirical results show that the volatility and skewness of the imbalance in the order book has a certain degree of impact on investors' aggressiveness to place orders. Foreign institution investors are information traders, and even when the volatility and skewness of the imbalance in the order book increases, foreign institution investors are more active in their order placement rather than less. Retail investors are also more active in placing orders, possibly due to behavioral bias. Domestic institution investors seem to adopt a more conservative investment strategy and are less active in placing orders.
Under different stock types, domestic institution investors and foreign institution investors have more in-depth analysis and research on large-cap stocks than on small-cap stocks, so they will wait patiently for trading opportunities, resulting in a decrease in their aggressiveness to place orders. Conversely, retail investors who prefer to hold small-cap stocks may be less likely to analyze large cap stocks and therefore be more active in placing orders to conclude transactions. Moreover, when the market is in an optimistic mood, investors have a more positive view of the market. Even though the volatility and skewness of the order book imbalance have increased, foreign institution investors and retail investors have been more active in placing orders compared to periods of pessimistic market sentiment. Domestic institution investors may adopt a counter-trend trading strategy. When the market is in a pessimistic mood, domestic institution investors are more active in placing orders.

並列關鍵字

Order aggressiveness ； Order imbalance ； Volatility ； Skewness ； Tobit model

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