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題名：臺灣股市三大法人委託型態與價格行為的實證分析
書刊名：管理與系統
作者：王子湄 引用關係／蕭朝興 引用關係
作者(外文)：Wang, Zi-may／Chiao, Chaoshin
出版日期：2008
卷期：15:1
頁次：頁55-92
主題關鍵詞：三大法人；委託不均衡；委託積極度；價格衝擊；日內分析；Professional institutional investors；Order imbalance；Order aggressiveness；Price impact；Intraday analysis
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:10
  • 點閱點閱:78
本文利用逐筆委託資料來檢測台灣股市三大法人委託型態與價格行爲的關係。研究發現，無論是委託不均衡或是委託積極度，結果都顯示三大法人中外資最能推動價格，關鍵在於個別投資人與外資相反操作程度較高，進而抵銷掉外資交易產生的部分價格壓力，使得外資買（賣）超個股的漲（跌）幅不如投信買（賣）超組合。整體而言，投信較具短期資訊優勢。另外，法人交易影響價格能力來自於資訊效果，而且法人買進與賣出的資訊內涵並不對稱；法人的正向回饋交易行爲以及對同期股價產生的價格衝擊，是三大法人買賣超與當日股價有正向關係的主要原因。
Applying order-level data, this paper examines the relation between the order submission patterns of professional institutional investors and stock price behaviors in the Taiwan Stock Market. We find that the trades of foreign investors (FIs) move the stock prices the most among the professional institutional investors in terms of order imbalance and order aggressiveness. The trading behavior of individual investors tends to conflict with that of FIs and offsets part of the price impacts from FIs' trades. The daily top net-buy (net-sell) stocks of securities investment trust companies (SITCs) have significantly higher (lower) return than those of FIs. Overall, SITCs are found more informed in the short term. Additionally, the price impact of institutional trades is related to information effect and there is a marked asymmetry between the permanent price changes of buys versus sells. The positive contemporaneous daily relation between return and institutional trading is largely driven by net institutional trading positively following past intraday price movements and the contemporaneous price pressures.
期刊論文
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2.Dennis, P. J.、Strickland, D.(2002)。Who Blinks in Volatile Markets, Individuals or Institutions?。Journal of Finance，57(5)，1923-1949。  new window
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21.Chiao, C.、Lin, K.-I.(2004)。The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market。Review of Pacific Basin Financial Markets and Policies，7(2)，259-288。  new window
22.Blume, Marshall E.、Mackinlay, A. Craig、Terker, Bruce(1989)。Order imbalances and stock price movements on October 19 and 20, 1987。Journal of Finance，44(4)，827-848。  new window
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34.Griffin, John M.、Harris, Jeffrey H.、Topaloglu, Selim(2003)。The dynamics of institutional and individual trading。The Journal of Finance，58(6)，2285-2320。  new window
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37.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica，53(6)，1315-1335。  new window
38.Walther, Beverly R.(1997)。Investor Sophistication and Market Earnings Expectations。Journal of Accounting Research，35(2)，157-179。  new window
39.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance，54(6)，2143-2184。  new window
40.Cai, F.、Kaul, G.、Zheng, L.(2004)。Institutional Trading and Stock Returns。Finance Research Letters，1，178-189。  new window
41.Cushing, D.、Madhavan, A.(2000)。Stock Returns and Trading at the Close。Journal of Financial Markets，3，45-67。  new window
42.Harris, L.(1997)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Markets, Institutions, and Instruments，7，26-74。  new window
43.Cooney, J. W., Jr.、Sias, R. W.(2004)。Informed Trading and Order Type。Journal of Banking & Finance，28，1711-1743。  new window
44.Chan, L. K. C.、Lakonishok, J.(1993)。Institutional Trades and Stock Price Behavior。Journal of Financial Economics，33，173-199。  new window
45.Barclay, M.、Warner, J.(1993)。Stealth and Volatility: Which Trades Move Prices?。Journal of Financial Economics，34，281-306。  new window
46.Peterson, M.、Sirri, E.(2002)。Order Submission Strategy and the Curious Case of Marketable Limit Orders。Journal of Financial and Quantitative Analysis，37，221-241。  new window
47.Glosten, L.(1994)。Is the Electronic Limit Open Book Inevitable?。Journal of Finance，49，1127-1161。  new window
48.Stoll, H.(2000)。Friction。Journal of Finance，55，1479-1514。  new window
會議論文
1.Aitken, M.、Almeida, N.、Harris, F. H.、McInish, T. H.(2005)。Order Splitting and Order Aggressiveness in Electronic Trading。0。  new window
2.Schwartz, R. A.、Shapiro, J. E.(1991)。The Challenge of Institutionalization for the Equity Market。0。  new window
研究報告
1.Boyer, B.、Zheng, L.(2004)。Who Moves the Market? A Study of Stock Prices and Sector Cashflows。Marriott School, Brigham Young University。  new window
2.李怡宗、劉玉珍、Wei, John Kuo-Chiang(2004)。An Analysis of Tradeoff between Execution Costs and Opportunity Costs: Evidence from Institutional Investors' Order Submission Strategies。0。  new window
3.蕭朝興、王子湄、賴秀玲(2006)。Order Submission Behaviors and Opening Price Behaviors in the Taiwan Stock Market。0。  new window
4.Angel, J.(1994)。Limit versus Market Orders。0。  new window
5.Seasholes, M.(2004)。Re-examining Information Asymmetries in Emerging Markets。0。  new window
6.Boehmer, K.、Kelly, E.(2005)。Institutional Investors and Informational Efficiency of Prices。Texas。  new window
7.Sias, R. W.、Starks, L. T.、Titman, S.(2001)。The Price Impact of Institutional Trading。Pullman：Washington State University。  new window
 
 
 
 
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