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    政大機構典藏 > 商學院 > 會計學系 > 期刊論文 >  Item 140.119/63944
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63944


    Title: Liquidity Provider in an Order-driven Market
    Other Titles: 委託單驅動市場中流動性提供者之研究
    Authors: 李怡宗
    Lee, Yi-Tsung
    Contributors: 會計系
    Keywords: 委託單驅動市場;限價委託單;市價委託單;流動性提供者
    Order driven market;Limit order;Market order;Liquidity provider
    Date: 2002.10
    Issue Date: 2014-02-18 14:57:02 (UTC+8)
    Abstract: 世界各國許多證券市場皆屬委託單驅動市場,在這種型態的交易市場中,投資人並沒有義務提供流動性,為了了解限價單在委託單驅動市場所扮演的角色,我們檢驗不同型態投資人的下單策略,結果發現在委託單驅動市場中,專業機構投資人(包括外資、共同基金、國內自營商、國內公司投資部門)確實有流動性的需求,專業機構投資人為了轉移風險或結清部位,在尾盤時會表現得較為積極,其中又以外資表現得最為積極。在波動性很大的市場,當沖的投資人及一般散戶會比機構投資人
    下更多不具市場性的限價單,他們這樣的行為與限價單在流動性的提供方面是互相吻合的,除此之外,大部份投資者在接近收盤時傾向買股票而不是賣股票,相反的,當沖投資人則傾向賣股票,因此,我們得到的結論是,當沖投資者是市場上流動性的主要提供者。
    Many securities markets are organized as order-driven markets in which participants are not obligated to provide liquidity. To shed some light on the role of limit orders in the order-driven market, we examine the ordering strategies of different types of investors. We found that professional institutional traders including foreign traders, mutual fund managers, domestic competitive traders and domestic corporate investors demand for liquidity in an order-driven market. Professional institutional traders tend to act aggressively near the close to shift their risk or clear their positions. Among types of institutional traders, QFIIs are the most aggressive ones. The results also indicate that day traders place orders relative passively. In a volatile market, day traders and individual traders submit more non-marketable limit orders than institutional traders. Such behaviors of day traders and individual traders are consistent with the existence of limit-order traders in liquidity provision. Besides, most traders tend to buy rather than sell stocks around the market close; on the contrary, day traders tend to sell rather than buy near the close. Hence, we may conclude that day traders are the main liquidity providers in the market.
    Relation: 國科會
    計畫編號:NSC 90-2416-H-004-042
    Data Type: article
    Appears in Collections:[會計學系] 期刊論文

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