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題名：臺灣股市的動能效應與投資人的下單策略
書刊名：交大管理學報
作者：蕭朝興 引用關係／尤靜華 引用關係／簡靖萱
作者(外文)：Chiao, Chaoshin／Yu, Ching-hua／Chien, Jing-shiuan
出版日期：2008
卷期：28:1
頁次：頁131-168
主題關鍵詞：動能效應；動能交易者；反向交易者；下單策略；Order submission strategy；Momentum effect；Momentum trader；Contrarian trader
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(8) 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:8
  • 共同引用共同引用:0
  • 點閱點閱:40
本文目的是探討在臺灣股市是否存在動能效應(momentum effect)與觀察投資人對於贏家、輸家的下單策略(order submission strategies)。本文發現：第一、近年來隨著政府開放市場，動能效應也隨之顯現。劇、利用臺灣股市所有投資人之委託檔與成交檔，本文發現個別投資人買進輸家、賣出贏家，傾向為反向交易者(contrarian traders)，但外資及投信皆為動能交易者(momentum traders)。下單積極度方面，整體而言，個別投資的委託單對股價影響仍是最高；在三大法人間，投信與自營商皆較外資積極。第三、當形成期市場狀況改變時，投資人下單策略與成交情況也隨之改變。
The purpose of this paper is to inspect the existence of the momentum effect in the Taiwan stock market and analyze investors’ order submission strategies for both winner and loser tocks. This paper finds that, as the government opens the financial markets to foreign investors, the momentum effect gradually becomes more evident. The examination of order and execution data confirms that individuals tend to be contrarian traders and institutional traders tend to be momentum traders. Individual investors who buy loser stocks and sell winner stocks have the highest impact on stock prices. Individual and institutional investors are often more aggressive than other investors. Finally, when the market conditions change, their order submission strategies and trading consequences change accordingly.
期刊論文
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17.Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets，2(2)，99-134。  new window
18.Harris, Lawrence(1998)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Market, Institutions and Instruments，7(2)，1-76。  new window
19.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets，7(1)，53-74。  new window
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21.Nofsinger, John R.、Sias, Richard W.(1999)。Herding and Feedback Trading by Institutional and Individual Investors。The Journal of Finance，54(6)，2263-2295。  new window
22.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance，53(5)，1775-1798。  new window
23.Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance，57(2)，985-1019。  new window
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31.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance，56(2)，589-616。  new window
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36.Griffin, John M.、Ji, Xiuqing、Martin, J. Spencer(2003)。Momentum investing and business cycle risk: Evidence from pole to pole。Journal of Finance，58(6)，2515-2547。  new window
37.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance，49(5)，1541-1578。  new window
38.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance，53(6)，1839-1885。  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.Parlour, C. A.(1998)。Price Dynamics in Limit Order Market。Review of Financial Studies，11(4)，789-816。  new window
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研究報告
1.Chui, A. C. W.、Titman, S.、Wei, K. C. J.(2000)。Momentum, legal systems and ownership structure: an analysis of Asian Stock markets。Hong Kong University of Science and Technology。  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
圖書
1.Schwartz, R. A.、Shapiro, J. E.(1992)。The Challenge of Institutionalization for the Equity Market。Recent Development in Finance。New York, NY：New York University Salomon Center。  new window
2.Harrison, M.(1994)。Asia-Pacific Securities Markets。Asia-Pacific Securities Markets。Hong Kong。  new window
 
 
 
 
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