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

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。

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.