委託單與刪單對股價變動之影響

本研究採用Cont et al.,(2014)所建構之限價委託簿模型為主要理論基礎，以臺灣股票市場之日內資料為樣本進行分析。探討委託單與刪單對股價變動之影響，利用考量刪單與市價單之後的委託單深度失衡(Order Flow Imbalance; OFI)，研究其對價格變動之影響；隨後，將投資者分為外資、散戶、自營商及其它本土法人四類別探討個別的影響程度。最後，亦將公司市值依大小分成三類做更進一步的分析。實證結果指出，臺灣股票市場中委託單與刪單對於價格變動具有顯著的影響，能夠預測未來股價之變動。在各類投資人與不同公司市值大小下亦可以得到相同之結果。但由於不同的交易策略或者取得訊息能力的不同，不同投資人對於股票價格具有不同程度的影響。

關鍵字

刪單；市價單；價格變動；委託單深度失衡

並列摘要

This paper studies the impact of orders and cancellations on the variation of stock price from Taiwan Stock Market. The main theory, based on Cont et al., (2014), uses the order flow imbalance (OFI) to explore the price variation. On the one hand, we categorize the investors into four groups, foreign institutional investors, individual investors, dealers and domestic institutional investors. On the other hand, we separate company size into three classifications, large size, median size and small size. Our evidence indicates that the impact of orders and cancellations on the change of stock price has a significant effect and is able to predict the price change. The evidence shows that no matter what type of the investors or what size of the companies, the outcome is as the same as the previous. However, due to different trading strategies or different ability to obtain information, these causes would bring the different degree of impact on price.

並列關鍵字

cancellations ； market orders ； price change ； order flow imbalance

參考文獻

1.張裕任、吳琮璠、王泰昌。(2012)。「影響外資持股因素之探討：安全性及資訊不對稱」。證券市場發展季刊，第24卷第1期，頁1-44。

2.Boehmer, E., & Wu, J. J. (2008). Order Flow and Prices. AFA 2007 Chicago Meetings Paper.

4.Chakravarty, S. (2001). Stealth-trading: Which Traders’ Trades Move Stock Prices?. Journal of Financial Economics, 61(2), 289-307.

5.Chordia, T., Roll, R., & Subrahmanyam, A. (2002). Order Imbalance, Liquidity, and Market Returns. Journal of Financial Economics, 65(1), 111-130.

6.Chan, K., and Fong, W.-M. (2000) Trade Size, Order Imbalance, and the Volatility-Volume Relation, Journal of Financial Economics 57, 247-273.

國際替代計量

委託單與刪單對股價變動之影響

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