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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/65392

    Title: 買賣單不均衡與價格效率性之關係-台灣股市的實證分析;The Relationship of Order Imbalance and Price Efficiency: Evidence from Taiwan Stock Market
    Authors: 周家宇;Chou,Chia-yu
    Contributors: 財務金融學系
    Keywords: 委託單不均衡;價格效率;散戶投資人;機構投資人;外資;Order imbalance;Price efficiency;Individual investor;Domestic institutional investor;Foreign investor
    Date: 2014-08-27
    Issue Date: 2014-10-15 15:30:10 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 本文探討各類投資人之委託單流量(order flows) 如何影響價格效率(price efficiency),文中使用高頻率資訊效率之衡量價格來捕捉價格短暫偏移隨機漫步的程度。透過Hasbrouck (1991) 與 Boehmer and Kelley (2009)的方法,使用日內交易資料並透過向量自我迴歸(VAR)模型來計算價格誤差。本研究分別計算散戶投資人、國內機構投資人及外資的委託單失衡(order imbalance) 變數,以探討個別影響。
    ;This thesis studies how daily order flows of investors affect price efficiency by using the high-frequency informational efficiency measure to capture temporary deviations from a random walk. We follow Hasbrouck (1993) and Boehmer and Kelley (2009) to use intraday transactions data to compute pricing errors through the VAR (vector autoregression) model. Order imbalance is categorized into three investor types, including individual, domestic institutional, and foreign institutional investors.
    After controlling other potential determinants of efficiency, the estimation results show that individual and domestic institutional investors’ order flows are significantly positive related to price discovery. With more individual and domestic institutional investors’ order flows, transaction prices move away from efficient prices, and the informational efficiency is hampered. On the other hand, foreign investors’ order imbalances are not related to price efficiency, though some foreign investors may be informed.
    Appears in Collections:[財務金融研究所] 博碩士論文

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