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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽 | |
| dc.contributor.author | Chih-Hui Li | en |
| dc.contributor.author | 李致慧 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:32:46Z | - |
| dc.date.copyright | 2005-07-04 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-06-15 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24601 | - |
| dc.description.abstract | 本研究檢驗鉅額跌幅個股的日報酬率與資訊不對稱之間的關係。透過採用買賣單不對稱－買單量減去賣單量－做為資訊不對稱的替代變數，以瞭解同期與落後數期的買賣單不對稱對股票報酬率的影響。本研究自NASDAQ成分股中選擇50家為樣本，樣本期間自2004年10月19日至2004年12月17日止，觀察各個樣本日中的交易資料，並採用GARCH（1, 1）及Chordia and Subrahmanyam（2004）的迴歸模型進行實證。
本研究主要的發現如下： 1.同期的買賣單不對稱與股票報酬率的關係呈正向相關。 2.期差一期的買賣單不對稱與股票報酬率亦呈正向相關；然而，在控制同期買賣單不對稱的影響之後，該關係會被弱化或甚至轉變為負向關係。 3.同期的買賣單不對稱對於股票報酬的影響與個股的市場資本額呈負向相關。 4.鉅額買賣單不對稱可被視為一種訊號，投資人可透過這些資訊內涵來推論股價改變的方向，以獲得報酬。 | zh_TW |
| dc.description.abstract | This study examines the relation between individual stock returns and information asymmetry among top losers. While using order imbalance, defined as buy orders less sell orders, as proxy to information asymmetry, this study captures the effect of contemporaneous and lagged order imbalance on individual stock returns. The research data consists of transaction information of 50 sample stocks listed on NASDAQ and the sample period is from Oct. 19, 2004 to Dec. 17, 2004. GARCH (1,1) model and Chordia and Subrahmanyam’s (2004) regression model are applied to analyze these observations.
The majority finding of this study are described as follows: 1.There exists positive relation between individual stock returns and contemporaneous order imbalance. 2.Lag one order imbalance is positive related to individual stock returns. However, this relation is weakened or even reversed after controlling the effect of contemporaneous order imbalance. 3.Contemporaneous order imbalance of one individual stock is negatively related to its market capitalization. 4.Large order imbalance can be treated as a signal, from which the investors infer to take profits | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:32:46Z (GMT). No. of bitstreams: 1 ntu-94-R92741007-1.pdf: 417685 bytes, checksum: ab5aea637989e8ea1fa8226bf041f89c (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | CHAPTER 1 INTRODUCTION 1
1.1 MOTIVES AND PURPOSES 1 1.2 FRAMEWORK OF THE THESIS 4 CHAPTER 2 LITERATURE REVIEW 5 2.1 TRADER’S BEHAVIOR UNDER INFORMATION ASYMMETRY 6 2.2 TRADING VOLUME UNDER INFORMATION ASYMMETRY 10 2.3 RELATION BETWEEN RATE OF RETURN AND TRADING VOLUME 11 CHAPTER 3 DATA 21 3.1 DATA SAMPLE AND SOURCES 21 3.2 THE PROCEDURE OF DATA SAMPLING 23 3.3 DESCRIPTIVE STATISTICS 24 CHAPTER 4 METHODOLOGY 26 4.1 GARCH MODEL AND VARIABLES 26 4.2 EFFECTS OF LAGGED ORDER IMBALANCE 28 4.3 RELATION BETWEEN COEFFICIENTS AND FIRM CPAITALIZATION 30 CHAPTER 5 EMPIRICAL RESULTS 32 5.1 RESULTS OF GARCH(1,1) 32 5.2 RESULTS OF REGRESSION MODEL 35 5.3 RELATION BETWEEN COEFFICIENTS AND FIRM CAPITALIZATION37 CHAPTER 6 CONCLUSION 38 REFERENCES 41 FIGURE 1. THE IDEA OF THE STUDY 46 FIGURE 2. DISTRIBUTION OF MARKET CAPITAL AT SAMPLE STOCKS47 TABLE 1 BASIC INFORMATION OF 50 SAMPLE STOCKS 48 TABLE 2 THE DETAILED STATISTIC OF ORDER IMBALANCE IN THE SAMPLE STOCKS. 50 TABLE 3 NUMBER OF SIGNIFICANCES AND INSIGNFICANCES IN RETURN- CONTEMPORANEOUS ORDER IMBALANCE RELATION 52 TABLE 4 NUMBER OF SIGNIFICANCES AND INSIGNFICANCES IN RETURN- LAG ONE ORDER IMBALANCE RELATION 54 TABLE 5 NUMBERS OF SIGNIFICANCES AND INSIGNFICANCES IN RETURN- LAGGED ORDER IMBALANCE RELATION 56 TABLE 6 ESTIMATES OF RETURN- CONTEMPORANEOUS ORDER IMBALANCE RELATION 60 TABLE 7 ESTIMATES OF RETURN- LAG ONE ORDER IMBALANCE RELATION 64 TABLE 8 ESTIMATES OF LAG 0- LAG 4 ORDER IMBALANCE EFFECTS68 TABLE 9 ESTIMATES OF LAG 1- LAG 5 ORDER IMBALANCE EFFECTS72 TABLE 10 APPROPRIATENESS OF TWO REGRESSION MODELS EXAMINING RETURN- LAGGED ORDER IMBALANCE RELATION 76 TABLE 11 ESTIMATES OF CONTEMPORANEOUS ORDER IMBALANCE- FIRM SIZE RELATION 78 | |
| dc.language.iso | en | |
| dc.title | NASDAQ最大跌幅投機型個股之日內報酬率-買賣單不對稱關係 | zh_TW |
| dc.title | Intraday Return-Order Imbalance Relation in NASDAQ Speculative Top Losers | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 蘇永成 | |
| dc.contributor.oralexamcommittee | 陳明賢,王耀輝 | |
| dc.subject.keyword | 買賣單不對稱,資訊不對稱,投機型個股, | zh_TW |
| dc.subject.keyword | order imbalance,information asymmetry,speculative stock, | en |
| dc.relation.page | 78 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2005-06-15 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 商學研究所 | zh_TW |
| 顯示於系所單位： | 商學研究所 | |
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