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dc.contributor.author蕭朝興en_US
dc.contributor.author王子湄en_US
dc.contributor.author黃常和en_US
dc.contributor.authorChao-Shin Chiaoen_US
dc.contributor.authorZi-Mei Wangen_US
dc.contributor.authorChang-Ho Huangen_US
dc.date.accessioned2016-01-29T02:47:31Z-
dc.date.available2016-01-29T02:47:31Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/11536/129055-
dc.description.abstract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。zh_TW
dc.description.abstractThis paper examines the daily and intraday relationship between stock return and the trading of institutional and individual investors on the TSEC 50 securities. First, the contemporaneous relation between stock return and the trade imbalance by institutions (individuals) at the daily level is strongly positive (negative) and institutions (individuals) tend to be trend-chasing (contrarian). Second, applying intraday order data, this paper finds that the observed positive contemporaneous relation is largely driven by the price pressure from institutional trading. Third, no consistent evidence supports that institutional order imbalance predicts future stock returns. Finally, the stock prices will move more when the trading direction of individuals is consistent with that of institutions.en_US
dc.language.isozh_TWzh_TW
dc.subject法人zh_TW
dc.subject個別投資人zh_TW
dc.subject可市價化限價單zh_TW
dc.subject委託不均衡比率zh_TW
dc.subjectInstitutional investorzh_TW
dc.subjectIndividual investorzh_TW
dc.subjectMarketable limit orderzh_TW
dc.subjectOrder imbalancezh_TW
dc.titleThe Dynamic Analysis of Investors' Trading in the Taiwan Stock Marketzh_TW
dc.title台灣股市投資人交易動態效果之分析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.spage41en_US
dc.citation.epage78en_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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