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題名:成交量、投資人異質性與價格波動之探討-台灣股市之實證研究
作者:尤靜華
作者(外文):Ching-Hua Yu
校院名稱:國立東華大學
系所名稱:經濟學系
指導教授:蕭朝興
學位類別:博士
出版日期:2008
主題關鍵詞:價格波動成交量個別投資人機構投資人彈性限價委託簿institutional investorsindividual investorsprice volatilitytrading volumelimit order bookElasticity
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摘 要
本文將利用委託與成交資料,藉衡量限價委託簿的彈性與各類投資人下單行為,檢測價量間的相關性。本研究發現:第一、台灣股票市場成交量與價格波動為正相關,而成交量中,真正影響價格變動的變數為成交筆數而非平均交易規模。而成交筆數中,又以個別投資人對於股價波動的效果較大。第二、利用委託單的資料發現,當投資人對資產評價看法愈分歧時,價格波動愈大。第三、在不同的市場情勢下,個別投資人最容易受到極端報酬或異常成交量的影響而進場交易。
Abstract
Using Taiwanese intraday limit-order and trade data, we investigate the volume-volatility relation by estimating the elasticities of limit order book and distinguishing the contributions among different investor groups. Firstly, there is a positive relation between trading volume and price volatility. The number of trades is much more important than the average trade size in stock price volatility. Particularly, individual investors’ trades play a crucial role. Secondly, applying limit-order data, we find that as investors have more opinions about asset values, price volatility tends to increase. Thirdly, individual investors are inclined to trade actively following extreme returns or high abnormal trading volumes.
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