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股市主力交易行为与委託簿资讯内涵之互动

【中文摘要】:长久以来,掌握股市主力之交易策略,为市场上投资人急欲了解并跟随以提
高获利的方式。许多股市分析与看盘软体,亦将主力券商分点分析资讯纳入,望
可提供散户投资人更多选股的方向。惟因股市主力交易行为隐藏于散户投资者中,
于学术研究中较少以股市主力为议题深入研究。
本研究以台湾股票市场 2012 年 10 月至 2013 年 1 月之买卖日报表与日内五
档揭示资料进行实证研究,以券商成交量比重概念定义主力,探讨主力交易行为
与股市委託簿资讯间的互动关係。实证结果发现,主力确实为市场中最积极之交
易族群,而属于国内券商之长期主力,具有长期买进同档股票之特性。于累积异
常报酬计算上,国内券商总公司为长期主力中最具有买进资讯之投资者;而每日
净部位较低之国内券商分行,则于卖出时能卖于高点的比率较主力来的高。相较
于外资主力,国内券商总行主力与分行主力分别于买进与卖出时,具有较佳的择
时能力,隐含着较多的主力投资者于其中。
最后以 Hasbrouck(1991)交易相关之变异贡献比率,显示具长期主力交易之
股票其资讯内涵较无主力成交股来的高,于净部位比率定义下,此变异贡献程度
更高。具长期主力交易个股,其交易行为较具有资讯性。又当主力于同档个股操
作期间越长时,交易的资讯程度亦随之提升。
【英文摘要】:The trading strategy of the main investors of stock market became a popular is-
sue recently. Many stock analysis and trading platform software have integrated the
information of main investors’ trading behavior and provided it to uninformed inves-
tors as trading suggestions. Since the trading behavior of main investors is mingled
with small investors, few empirical studies have focused on this issue.
This paper examines the interaction between the trading behavior of main inves-
tors and the information content of limit order book using the record of buy and sell
trading of each broker branch and intraday data from Taiwan stock market. The defi-
nition of main investors is based on the concept of daily trading volume and net posi-
tion, which belongs to the large traders. We find that the main investors are the most
aggressive one in trading, and the trading pattern of local brokers is buying the same
stock in the long run. According to the comparison of cumulative abnormal return, the
head office of local brokers is the most informative stock buyer in the market. Con-
cerning the limit order book information, we show that the stocks with long-term
main investors are more informative than the non-main investors category. The trad-
ing informativeness is higher as the longer trading period of main investors.
【参考文献】:

  • 一、 中文部分
  • 陈志萍,「应用关连式规则分析于主力券商分行之操作策略」,国立清华大学科技
  • 管理学院高阶经营主管管理硕士在职专班硕士论文,民国九十八年。
  • 廖俊智,「台股投资风格内与风格间价格移动关係之研究」,国立云林科技大学财
  • 物金融系研究所硕士论文,民国九十七年。
  • 二、 英文部分
  • Anand, A., Chakravarty, S., and Martell, T., 2005, “Empirical Evidence on the
  • Revolution of Liquidity: Choice of Market versus Limit Orders by Informed and
  • Uninformed Traders,” Journal of Financial Markets, 8(3), 288-308
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  • 来源:中山大学;作者:廖子瑄
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