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dc.contributor.author林雅玲en_US
dc.contributor.author馬黛en_US
dc.contributor.authorYa-Ling Linen_US
dc.contributor.authorTai Maen_US
dc.date.accessioned2016-01-29T02:47:18Z-
dc.date.available2016-01-29T02:47:18Z-
dc.date.issued2014en_US
dc.identifier.urihttp://hdl.handle.net/11536/128985-
dc.description.abstract本文主要以日資料及高頻率逐筆日內資料探討當揭示資訊更多時是否存在著投資人的行為偏誤以致對市場造成異常影響?實證顯示散戶的委託失衡日內型態大致呈現倒U型,而法人則大致呈現類似W型態的波浪狀,且W型態的高峰點在較透明市場有往前移的現象。另外,散戶在較透明環境的盤中從眾強度會增加,且進一步利用追蹤資料模型與分量迴歸模型發現,散戶與國外法人無論市場是否透明皆有對作的現象,而這情況在透明市場中會發生在較高分位的委託失衡。再者,外資可能因揭示資訊增加更能掌握盤面變化而顯得對本身的決策更加有自信,因為無論是以價或量的指標皆發現其在透明市場的交易更為積極,但另方面也由其委託失衡之日內型態、下單參與率及委託規模發現他們會很精明的在盤中將委託單分散以避免獨佔資訊在透明市場中迅速外漏。zh_TW
dc.description.abstractThis research analyzes the relationship between pre-trade transparency, order imbalance and investors' behavioral biases. The impact of increasing pre-trade transparency on the varied order behavior is determined for three different types of investors: individual investors, domestic and foreign institutional investors. The empirical results show that the intraday pattern of order imbalance for individual investors exhibits an inverse U-pattern, while that for institutional investors displays a quasi W-pattern and the several peak points of the W-pattern move forward in a more transparent market. Additionally, the measure of herding for individual investors increases as market transparency increases and the current order imbalance of individual investors is significantly negatively affected by the previous order imbalance of foreign institutional investors. As foreign traders produce a larger order imbalance, individual investors begin to pay attention. Foreign traders also seem to be more vigorous and confident in a more transparent market. However, they also try to conceal their real motive by using order splitting strategies to avoid information leaks fast according to the intraday pattern of order imbalance and trading activity.en_US
dc.language.isozh_TWzh_TW
dc.subject交易前透明度zh_TW
dc.subject下單行為zh_TW
dc.subject委託單失衡zh_TW
dc.subject從眾zh_TW
dc.subject過度自信zh_TW
dc.subjectPre-trade transparencyzh_TW
dc.subjectOrder behaviorzh_TW
dc.subjectOrder imbalancezh_TW
dc.subjectHerdingzh_TW
dc.subjectOverconfidencezh_TW
dc.titleThe Relationship between Pre-trade Transparency, Order Imbalance and Investors' Behavioral Biaseszh_TW
dc.title交易前透明度、委託單失衡與投資人行為偏誤之關聯性en_US
dc.identifier.journal交大管理學報zh_TW
dc.identifier.journalChiao Da Mangement Reviewen_US
dc.citation.volume1en_US
dc.citation.spage79en_US
dc.citation.epage116en_US
dc.contributor.departmentDepartment of Management Scienceen_US
dc.contributor.department管理科學學系zh_TW
Appears in Collections:Chiao Da Mangement Review


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