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    政大機構典藏 > 商學院 > 會計學系 > 期刊論文 >  Item 140.119/63943


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/63943


    Title: Limit Order Book Transparency and Investors` Welfares (2/2)
    Other Titles: 限價委託透明度與投資人行為：法人與散戶之研究
    Authors: 李怡宗
    Contributors: 會計系
    Date: 2006.10
    Issue Date: 2014-02-18 14:56:49 (UTC+8)
    Abstract: This paper investigates the impact of order book transparency on investors` behaviors.
    Our focus is to analyze whether institutions and/or individuals are able to make use of
    the information content from an open limit book. The data from Taiwan stock
    exchange allow us to trace the investors’ accounts and therefore, provide us a unique
    opportunity to analyze how investors adjust their order placement strategies after the
    increase of a transparent limit order book. This findings show that limit order book
    transparency does affect the order placements of investors, in particular for foreign
    investors, implying that foreign investors are more aware of the limit order
    information. Furthermore, we find that foreign investors become more aggressive in
    a transparent market by enjoying the aggregation ability of limit order book
    information. The findings of our study shed some light on experiment economics/
    information aggregations.
    本文探討限價委託簿透明度對投資人行為的影響，主要內容是分析法人或散戶是
    否有能力分析限價委託簿資訊。由於台灣證券交易所的資料可以追蹤不同投資人
    的買賣行為，提供了一個獨特的機會，研究投資人在一個較為透明的市場是否會
    調整其下單策略。本文的研究結果顯示，限價委託簿透明度資訊的確會影響投資
    人行為，尤其是外資對限價委託簿透資訊甚為敏感，而且下單也較為積極。此隱
    涵外資可能較能享受限價委託簿資訊公開的好處。本文的結果可以提供實驗經濟
    或是資訊加總效率理論參考。
    Relation: 國科會
    計畫編號： NSC94-2416-H-004-006
    Data Type: article
    Appears in Collections:[會計學系] 期刊論文

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