台灣股市投資人競價策略與價格優劣之比較

Trading Price Strategies and Advantages of Institutional and Individual Investors in the Taiwan Stock Market

10.6160/2009.12.04

蕭朝興(Chao-Shin Chiao)；尤靜華(Ching-Hua Yu)；林庭宇(Ting-Yu Lin)

價格比率 ； 可市價化限價單 ； 個別投資人 ； 機構投資人 ； price ratio ； marketable limit order ； individual investors ； institutional investors

中山管理評論

17卷4期（2009 / 12 / 01）

927 - 969

繁體中文

本文沿用類似Choe et al.（2005）方法，以台灣50成份股為主要分析對象，目的在於分析台灣股市之投資人在市場上競價優劣的情況，進而探討其優劣勢之原因。使用日內委託、成交與揭示資料，本文研究發現，第一、外資在大型交易時不論買進的價格或是賣出收入皆處於最劣勢的情況。第二、交易愈頻繁，外資的成交價格愈差。第三、以事件分析法，得知外資為追求日內動能策略之投資人。

Using Taiwanese intraday order-level and execution data and following the methodology, proposed by (Choe et al., 2005), we investigate whether domestic investors have an edge over foreign investors in trading domestic stocks in the Taiwan stock market. Firstly, we find that foreign investors pay more than domestic investors when they buy and receive less when they sell for large trades. Secondly, foreign investors are more at a disadvantage when they trade more. Thirdly, adopting an event-study approach, we show that foreign investors trade more on intra-day momentum than domestic investors.

1. Admati, A.,Pfleiderer, P.(1988).A Theory of Intraday Patterns: Volume and Price Variability.Review of Financial Studies,1(1),3-40.
2. Blume, M. E.,MacKinlcy, A. C.,Terker, B.(1989).Order Imbalances and Stock Price Movements on October 19 and 20, 1987.Journal of Finance,44(4),827-848.
3. Brennan, M. J.,Cao, H. H.(1997).International Portfolio Investment Flows.Journal of Finance,52(5),1851-1880.
4. Chan, L. K. C.,Lakonishok, J.(1995).The Behavior of Stock Prices around Institutional Trades.Journal of Finance,50(4),1147-1174.
5. Chiao, C.,Wang, Z.,Lai, H.(2009).Order submission behaviors and opening price behaviors: evidence from an emerging market.Review of Quantitative Finance and Accounting,33(3),253-278.
6. Choe, H.,Kho, R.,Stulz, K. M.(1999).Do Foreign Investors Destabilize Stock Markets? The Korea Experience in 1997.Journal of Financial Economics,54(2),227-264.
7. Choe, H.,Kho, R.,Stulz, R. M.(2005).Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea.Review of Financial Studies,18(3),795-829.
8. Chordia, T.,Roll, R.,Subrahmanyam, A.(2002).Order imbalance, Liquidity and Market Returns.Journal of Financial Economics,65(3),111-130.
9. Cooney, J. Jr.,Sias, R. W.(2004).Informed Trading and Order Type.Journal of Banking and Finance,28(7),1711-1743.
10. Coval, J. D.,Moskowitz, T. J.(1999).Home Bias at Home: Local Equity Preference in Domestic Portfolios.Journal of Finance,54(6),1-39.
11. Cushing, D.,Madhavan, A.(2000).Stock Returns and Trading at the Close.Journal of Financial Markets,3(1),45-67.
12. Dvorak, T.(2005).Do Domestic Investors Have an Informational Advantage? Evidence from Indonesia.Journal of Finance,60(2),817-839.
13. Easley, D.,O''Hara, M.(1987).Price, Trade Size, and Information in Securities Markets.Journal of Financial Economics,19(1),69-90.
14. Foucault, T.(1999).Order Flow Composition and Trading Costs in a Dynamic Limit Order Market.Journal of Financial Markets,2(2),99-134.
15. Grinblatt, M.,Kelohaiju M.(2000).The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set.Journal of Financial Economics,55(1),43-67.
16. Hasbrouck, J.(1988).Trades, Quotes, Inventories and Information.Journal of Financial Economics,22(2),229-252.
17. Hau, H.(2001).Location Matters: An Examination of Trading Profits.Journal of Finance,56(5),1959-1983.
18. Holthausen, R.,Leftwich, R.,Mayers, D.(1987).The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis.Journal of Financial Economics,19(2),237-268.
19. Kang, J.,Stulz, R.(1997).Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan.Journal of Financial Economics,46(1),3-28.
20. Kavajecz, K. A.,Odders-White,E. R.(2001).An Examination of Changes in Specialist'a Posted Price Schedules.Review of Financial Studies,14(3),681-704.
21. Keim, D. B.(2003).Working paper.University of Pennsylvania.
22. Korajczyk, R.,Sadka, R.(2004).Are momentum profits robust to trading costs?.Journal of Finance,59(3),1039-1082.
23. Kyle, A.(1985).Continuous Auctions and Insider Trading.Econometrica,53(6),1315-1336.
24. Lee, C. M. C.,Ready, M. J.(1991).Inferring Trade Direction from Intraday Data.Journal of Finance,46(2),733-746.
25. Lee, Y.,Liu, Y.,Roll, R.,Subrahmanyam, A.(2004).Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange.Journal of Financial and Quantitative Analysis,39(2),327-341.
26. Lesmond, D. A.,Schill, M. J.,Zhou, C.(2004).The illusory nature of momentum profits.Journal of Financial Economics,71(2),349-380.
27. Peterson, M.,Sirri, E.(2002).Order Submission Strategy and the Curious Case of Marketable Limit Orders.Journal of Financial and Quantitative Analysis,37(2),221-241.
28. Ranaldo, R.(2004).Order Aggressiveness in Limit Order Book Markets.Journal of Financial Markets,7(1),53-74.
29. Schwartz, K. A.,Shapiro, J.,Saunders, A.(ed.)(1992).Recent Developments in Finance.Chicago:Irwin Professional Pub.
30. Seasholes, M.(2000).Working paper.Harvard Business School.
31. Shukla, K. K.,van Inwegen,G. B.(1995).Do Locals Perform Beuer than Foreigners? An Analysis of UK and US Mutual Fund Managers.Journal of Economics and Business,47(3),241-254.
32. Stoll H.(2000).Friction.Journal of Finance,55(4),1479-1514.
33. Walther B.(1997).Investor Sophistication and Market Earnings Expectations.Journal of Accounting Research,35(2),157-179.

1. Weng, Pei-Yu,Fan, Hung-Shu,Chen, Ching-Lung(2016).Institutional Ownership, Income Smoothing and the Value-relevance of Accounting Numbers.管理評論,35(3),109-134.
2. 陳慶隆、翁佩瑜、范宏書(2016)。機構投資者、盈餘平穩化與會計資訊價值攸關性。管理評論，35(3)，1-27。