题名

Stock Traders' Order Aggressiveness and Investment Performance on the Taiwan Stock Exchange

并列篇名

臺灣股市交易者之下單積極度與投資績效

DOI

10.6545/JFS.201803_26(1).0003

作者

林霖(Lin Lin)；洪碧霞(Pi-Hsia Hung)；林宗岳(Chung-Yueh Lin)

关键词

Investor types ； microstructure ； order size ； order submission ； trading behavior ； 投資人類別 ； 市場微結構 ； 委託單規模 ； 委託單提交 ； 交易行為

期刊名称

財務金融學刊

卷期/出版年月

26卷1期（2018 / 03 / 31）

页次

59 - 96

内容语文

英文
中文摘要

This paper examines the relationship between order aggressiveness and investment performance across investor classes on the Taiwan Stock Exchange. We combine intraday order-level data, transaction-level data, and display information to construct the daily volume-weighted order aggressiveness and investment performance for identified investor types. Empirical results find that professional institutions are more aggressive than individuals and other institutions, and institutional investors generally perform better than individuals. Evidence also suggests that mutual funds are the most active among all types of investors and out-perform the rest. Finally, these results are robust when we check for stock volatility, tick sizes, and market conditions.
英文摘要

本文探討臺灣股票市場中各類交易者之下單積極度與投資績效之關係。實證結果發現，專業機構投資人較散戶及其他法人更積極，機構投資人投資績效表現優於散戶。共同基金為下單積極度最高的交易者，其投資績效明顯優於其他類別交易者。此外，考慮股票波動度、價格升降級距及牛熊市效果時，亦符合上述實證結果。
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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