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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳思寬(Shi-Kuan Chen) | |
dc.contributor.author | Chia-Hung Hung | en |
dc.contributor.author | 洪嘉宏 | zh_TW |
dc.date.accessioned | 2021-06-08T07:22:47Z | - |
dc.date.copyright | 2008-07-30 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-07-22 | |
dc.identifier.citation | 一、英文部分
Benston, G.J. and R.L. Hagerman., 1974, Determinants of bid-ask spreads in the over-the-counter market, Journal of Financial Economics, 1, 353-364. Chordia, T. & Subrahmanyam, A., 2004, Order imbalance and individual stock ruturns: Theory and evidence. Journal of financial Economics, 72, 485-518 Cushing, D., Madhavan, A., 2000, Stock returns and trading at the close. Journal of Financial Markets, 3, 45-67. Ellis, K., R. Michaely, and M. O’Hara, 2000, The accuracy of trade classification rules: evidence from Nasdaq, Journal of Financial and Quantitative Analysis, 35, 529-551. Eugene F. Fama., 1970, Efficient capital markets: A review of theory and theory and empirical work, Journal of Finance, 25, 383-417. Gallant, A., Rossi, P., Tauchen, G., 1992, Stock prices and volume. Review of Financial Studies, 5,199-242. Glosten, L. R., and P. R. Milgorm, 1985, Bid, Ask, and Transactions Prices in a Specialist Market With Heterogeneously Informed Traders, Journal of Financial Economics, 14, 71-100. Grossman, S.J., 1976, On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information, Journal of Finance, 31, 573-585 Grossman, S. & Stiglitz, J., 1980, On the impossibility of informationally efficient markets. American Economic Review, 70(5), 393-408. Hiemstra, C., Jones, J., 1994, Testing for linear and nonlinear Granger causality in the stock price-volume relation, Journal of Finance, 49, 1639-1664. Ho, T., Stoll, H., 1983, The dynamics of dealer markets under competition. Journal of Finance, 38,1053-1074. Karpoff, J., 1987. The relation between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis, 22, 109-125. Kraus, A., Stoll, H., 1972, Parallel trading by institutional investors. Journal of Financial and Quantitative Analysis, 7, 2107-2138. Kyle, A., 1985, Continuous auctions and insider trading, Econometrica, 53, 1315-1335. Lakonishok, J., Shleifer, A., Vishny, R., 1992, The impact of institutional trading on stock prices. Journal of Financial Economics, 32, 23-43. Lauterbach, B., Ben-Zion, U., 1993, Stock market crashes and the performance of circuit breakers:empirical evidence. Journal of Finance, 48, 1909-1925. Lee, C., Ready, M., 1991, Inferring trade direction from intraday data. Journal of Finance, 46, 733-747. Lo, A., Wang, J., 2000, Trading volume: definitions, data analysis, and implications of portfolio theory. Review of Financial Studies, 13, 257-300. Sias, R., 1997, Price pressure and the role of institutional investors in closed-end funds, Journal of Financial Research, 20, 211-229. Spiegel, M., Subrahmanyam, A., 1995, On intraday risk premia. Journal of Finance 50, 319-339. Shenoy, C., Zhang, YJ., 2007, Order imbalance and stock returns: Evidence from China. The Quarterly Review of Economics and Finace, 47(5), 637-659. 二、中文部分 陳怡靜,2002,興櫃市場交易機制與成本分析,國立中山大學財務管理學系碩士論文。 黃玉娟, 林明白, 2003,買賣單不平衡、價差和報酬之探討:以台指期貨在台灣期貨交易所及新加坡交易所為例,財務金融學刊,11(2), 71-98。 蘇永成,2006,投資銀行學,新陸書局。 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26727 | - |
dc.description.abstract | 本研究旨在驗證[Chordia, T. & Subrahmanyam, A(2004). Order imbalance and individual stock returns: Theory and evidence. Journal of Financial Economics, 72, 485-518]所提出的買賣單不平衡與股價報酬關係是否也存在於台灣證券市場上。選用最接近國外交易制度的台灣50成分股(民國94年5月16日至民國97年3月7日)進行分析後得出以下幾點:
1 .買賣單不平衡存在正的自我相關;這點與Chordia and Subrahmanyam(2004)在紐約證交所(New York Stock Exchange, NYSE)所做的結果類似 2 .當期股價報酬與當期買賣單不平衡和落後期買賣單不平衡確實存有線性關係。且當期買賣單不平衡係數是正、落後期買賣單不平衡係數是負。 3 .以落後期的買賣單不平衡對於股價報酬做預測時發現,在台灣買賣單不平衡訊號對並沒有具備預測股價報酬的能力。可能的因素有:1.市場結構的差異;2.投資人結構的差異。 | zh_TW |
dc.description.abstract | The main purpose of this study is to investigate the evidence of the linkage between daily order imbalance and daily returns of individual stock in the Taiwan stock market and examine “Order Imbalance Theory” which is reported by Chordia and Subrahmanyam [Chordia, T. & Subrahmanyam, A(2004). Order imbalance and individual stock ruturns: Theory and evidence. Journal of Financial Economics, 72, 485-518] by TSEC Taiwan 50 Index(from 2005/5/16 to 2008/4/7). The result is:
1. In equilibrium, the discretionary liquidity trader splits his order across the two periods, so that equilibrium order imbalances are positively autocorrelated. It is similar to that of the New York Stock Exchange as reported by Chordia and Subrahmanyam (2004). 2. The expectation of the price change P2 - P1 conditional on the contemporaneous and lagged order imbalances; respectively, is linear in these variables. The coefficient of contemporaneous order imbalance is positive while that of lagged order imbalances is negative. 3. However, there is no evidence that lagged order imbalances predict subsequent returns. The difference in predicative power could be attributed to differences in trading mechanisms on the two exchanges and to differences in the turnover rates. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T07:22:47Z (GMT). No. of bitstreams: 1 ntu-97-R95724001-1.pdf: 415436 bytes, checksum: 0c98aaf86c889730dc18bb6ddea049c6 (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | 口試委員會審定書.......................I
謝辭..................................II 中文摘要.............................III 英文摘要..............................IV 目錄...................................V 表目錄.................................V 第一章 緒論............................1 1.1研究背景與動機....................1 1.2研究目的..........................3 第二章 文獻回顧........................4 2.1市場微結構與證券交易者的策略行為..4 2.1買賣單不平衡理論..................6 第三章 研究方法........................8 3.1假設..............................8 3.2模型.............................11 3.4研究步驟與變數定義...............15 3.5樣本選取與資料處理...............16 第四章 實證結果分析...................19 4.1敘述統計與相關分析...............19 4.2迴歸結果分析.....................24 5.1研究結論.........................30 5.2研究侷限性與對後續研究者的建議...31 附錄1-1 個別公司迴歸結果..............34 附錄1-2 個別公司迴歸結果..............40 | |
dc.language.iso | zh-TW | |
dc.title | 買賣單不平衡理論與股價報酬關係-以台灣五十成分股為例 | zh_TW |
dc.title | Order Imbalance Theory and Stock Returns-Evidence From TSEC Taiwan 50 Index | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 萬哲鈺,張銘仁 | |
dc.subject.keyword | 買賣單不平衡,股價報酬,市場微結構, | zh_TW |
dc.subject.keyword | Order imbalance,stock return,market microstructure, | en |
dc.relation.page | 32 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2008-07-23 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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