事件宣告前知訊投資人下單策略之研究

A Study of Informed Investors Order Strategies before Event Announcements

陳奕璋(Yi-Chang Chen)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓

淡江大學/商學院/財務金融學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00535

摘要

本研究主要以2007到2010年台灣股票市場上市公司為樣本，探討公司事件宣告前知訊投資人的下單策略以及各類投資人為知訊投資人之可能性。根據Chae (2005)對事件分類的定義，本文以股利與盈餘宣告為預定(scheduled)事件代表，庫藏股與併購宣告則為非預定(unscheduled)事件代表，探討台灣市場委託簿上事件宣告之前期間知訊投資人的委託單策略。研究結果指出，知訊投資人在股利、盈餘以及庫藏股宣告前5天內會傾向下最積極單以及大單，而併購宣告前，知訊投資人則較偏好下次積極單以及中單；投資人別部份，相較於散戶，機構投資人(外資、自營商、其它國內法人)較可能為知訊投資人；而金融海嘯發生前後，事件宣告前知訊投資人的下單策略確實有所差異。本文主要貢獻在於進一步釐清知訊投資人對於資訊反映在下單的偏好，以及不同性質事件宣告下對知訊投資人下單策略之影響。

關鍵字

知訊投資人 ； 委託單策略 ； 事件宣告

並列摘要

This study is to investigate informed investors order strategies before event announcements and all types of investors the possibility of informed investors. According to Chae (2005) defined the event classification, this study defines the dividend and earnings announcements as scheduled events, treasury shares and M & A announcements as unscheduled events, and then investigate informed investors order strategies before listed companies' event announcements on Taiwan stock market. The empirical result show that, informed investors will prefer to submit the most aggressive limit order and large size order before dividend, earnings, and treasury shares announcements, and to submit less aggressive limit order and median size order before M&A announcements. Compared to individual investors, institutional investors (foreign investors, dealers, and other domestic corporations) are more likely to be informed investors. Before and after financial Tsunami, informed investors order strategies before event announcements are indeed different. In this paper, the main contribution are further clarify the informed investors preferences of order strategies, and the impact on informed investors order strategies by event announcements with different feature.

並列關鍵字

Informed investors ； Order Strategy ； Event Announcements

參考文獻

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