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題名:The Dynamic Analysis of Investors' Trading in the Taiwan Stock Market
書刊名:交大管理學報
作者:蕭朝興 引用關係王子湄 引用關係黃常和
作者(外文):Chiao, Chao-shinWang, Zi-meiHuang, Chang-ho
出版日期:2009
卷期:29:1
頁次:頁41-78
主題關鍵詞:法人個別投資人可市價化限價單委託不均衡比率Institutional investorIndividual investorMarketable limit orderOrder imbalance
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(2) 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:22
  • 點閱點閱:26
本文檢測三大法人、個別投資人對於臺灣50交易行為與股票報酬的每日與日內關係,發現三大法人(個別投資人)每日淨買賣超與當日股票報酬之間具有強烈的正(負)相闕,同時也有追逐動能(反向交易)的傾向。進一步利用逐筆委託資料來探討這正相關的可能原因,發現法人沒有預測日內短期報酬能力,雖然法人會正向追隨過去日內報酬變化,但相較之下,法人交易產生的價格壓力才是主要因素;同時,當個別投資人與法人同步且大搞買賣超時,才能對股價產生較大的衝擊。
期刊論文
1.Chiao, C.、Cheng, D. C.、Shao, Y.(2006)。The Informative Content of the Net-buy Information of Institutional Investors in the Taiwan Stock Market: A Revisit Using Conditional Analysis。Review of Pacific Basin Financial Markets and Policies,9(4),661-697。  new window
2.Dennis, P. J.、Strickland, D.(2002)。Who Blinks in Volatile Markets, Individuals or Institutions?。Journal of Finance,57(5),1923-1949。  new window
3.Handa, P.、Schwartz, R.、Tiwari, A.(2003)。Quote Setting and Price Formation in an Order Driven Market。Journal of Financial Markets,6(4),461-489。  new window
4.Lee, Yi-Tsung、Liu, Yu-Jane、Roll, Richard、Subrahmanyam, Avanidhar(2004)。Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange。Journal of Financial and Quantitative Analysis,39(2),327-341。  new window
5.Choe, H.、Kho, B. C.、Stulz, R. M.(2005)。Do domestic investors have an edge? The trading experience of foreign investors in Korea。Review of Financial Studies,18,795-830。  new window
6.Grinblatt, M.、Keloharju, M.(2000)。The investment behavior and performance of various types of investors: a study of Finland’s unique data set。Journal of Financial Economics,55(1),43-67。  new window
7.Chan, Louis K. C.、Lakonishok, Josef(1995)。The Behavior of Stock Prices around Institutional Trades。The Journal of Finance,50(4),1147-1174。  new window
8.Del Guercio, Diane(1996)。The distorting effect of the prudent-man laws on institutional equity investments。Journal of Financial Economics,40(1),31-62。  new window
9.Lakonishok, J.、Shleifer, A.、Vishny, R. W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Finance,49(5),1541-1578。  new window
10.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
11.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity and market returns。Journal of Financial Economics,65(1),111-130。  new window
12.游智賢、賴育志(19991200)。外資資訊領先地位之探討。中國財務學刊,7(3),1-26。new window  延伸查詢new window
13.陳正佑、徐守德、王毓敏(20020600)。產業別動量投資策略與投資績效--臺灣股票型共同基金之實證研究。中山管理評論,10(2),203-230。new window  延伸查詢new window
14.Wermers, R.(1999)。Mutual Fund Herding and Impact on Stock Price。Journal of Finance,54(2),581-622。  new window
15.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
16.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。  new window
17.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
18.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
19.Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。  new window
20.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。  new window
21.Barber, Brad M.、Odean, Terrance(2000)。Trading is hazardous to your wealth: The common stock investment performance of individual investors。The Journal of Finance,55(2),773-806。  new window
22.Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
23.Froot, Kenneth A.、Scharfstein, David S.、Stein, Jeremy C.(1992)。Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation。Journal of Finance,47(4),1461-1484。  new window
24.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
25.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
26.Scharfstein, David S.、Stein, Jeremy C.(1990)。Herd Behavior and Investment。The American Economic Review,80(3),465-479。  new window
27.Sias, Richard W.、Starks, Laura T.(1997)。Return autocorrelation and institutional investors。Journal of Financial Economics,46(1),103-131。  new window
28.Gompers, Paul Alan、Metrick, Andrew(2001)。Institutional investors and equity prices。The Quarterly Journal of Economics,116(1),229-259。  new window
29.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
30.Grinblatt, Mark、Titman, Sheridan(1993)。Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns。The Journal of Business,66(1),47-68。  new window
31.Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1995)。Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior。The American Economic Review,85(5),1088-1105。  new window
32.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
33.Lee, J.、Chou, R.、Lin, C.、Hsieh, Y.(2006)。The Interactions between Foreign Investors and the Taiwan Stock Market around the Asian Financial Crisis。Review of Securities and Futures Markets,18(3),47-72。  new window
34.Lin, M.、Ma, L.(2002)。The Interactions between Institutional Trading Information and Market Returns。Review of Securities and Futures Markets,14(3),113-144。  new window
35.Hsu, K.、Lin, P.(2005)。A Study on Disposition Effect of Individual Investors: Empirical Findings Taking into Account Market Valuations。Journal of Management,22(1),85-107。  new window
36.Shu, P.、Chen, H.、Huang, S.(2005)。Why Do Mutual Fund Managers Trade in Herd?。Management Review,24(4),57-81。  new window
37.Ahn, H. J.、Bae, K. H.、Chan, K. L.(2001)。Limited Orders Depth and Volatility: Evidence from the Stock Exchange of Hong Kong。Journal of Finance,56(2),767-788。  new window
38.Barclay, M.、Litzenberger, R.、Warner, J. B.(1990)。Private Information, Trading Volume and Stock-return Variances。Review of Financial Studies,3(2),233-253。  new window
39.Choe, H.、Kho, R.、Stulz, R. M.(1999)。Do Foreign Investors Destabilize Stock Markets? The Korea Experience in 1997。Journal of Financial Economics,54(2),227-264。  new window
40.Cushing, D.、Madhavan, A.(2000)。Stock Returns and Trading at the Close。Journal of Financial Markets,3(1),45-67。  new window
41.Hansch, O.、Naik, N.、Viswanathan, S.(1998)。Do Inventories Matter in Dealership Markets? Some Evidence from the London Stock Exchange。Journal of Finance,53(5),1623-1656。  new window
42.Lee, C. M. C.(1992)。Earnings News and Small Traders: An Intraday Analysis。Journal of Accounting and Economics,15(2),265-302。  new window
43.Peterson, M.、Sirri, E.(2002)。Order Submission Strategy and the Curious Case of Marketable Limit Orders。Journal of Financial and Quantitative Analysis,37(2),221-241。  new window
44.Reiss, P. C.、Werner, I.(1998)。Does Risk Sharing Motivate Interdealer Trading?。Journal of Finance,53(5),1647-1703。  new window
45.Stoll, H.(2000)。Friction。Journal of Finance,55(4),1479-1514。  new window
會議論文
1.Cai, F.、Kaul, G.、Zheng, L.(2000)。Institutional Trading and Stock Returnshttp://ssrn.com/abstract=251941。  new window
2.Chiao, C.、Wang, Z.、Lai, H.(2006)。Order Submission Behaviors and Opening Price Behaviors in the Taiwan Stock Market。  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.Lee, Y. T.、Liu, Y. J.、Wei, K. C.(2004)。An Analysis of Tradeoff between Execution Costs and Opportunity Costs: Evidence from Institutional Investors' Order Submission Strategies。  new window
圖書
1.Schwartz, R. A.、Shapiro, J. E.(1991)。The Challenge of Institutionalization for the Equity Market。Recent Development in Finance: Conference in Honor of Arnold Sametz。New York, NY。  new window
其他
1.Sias, R. W.,Starks, L. T.,Titman, S.(2001)。The Price Impact of Institutional Trading。  new window
 
 
 
 
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