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題名 | 臺灣股市的動能效應與投資人的下單策略=The Momentum Effect and the Corresponding Investors' Order Submission Strategies in the Taiwan Stock Market |
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作者 | 蕭朝興; 尤靜華; 簡靖萱; Chiao, Chaoshin; Yu, Ching-hua; Chien, Jing-shiuan; |
期刊 | 交大管理學報 |
出版日期 | 20080600 |
卷期 | 28:1 2008.06[民97.06] |
頁次 | 頁131-168 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 動能效應; 動能交易者; 反向交易者; 下單策略; Order submission strategy; Momentum effect; Momentum trader; Contrarian trader; |
中文摘要 | 本文目的是探討在臺灣股市是否存在動能效應(momentum effect)與觀察投資人對於贏家、輸家的下單策略(order submission strategies)。本文發現:第一、近年來隨著政府開放市場,動能效應也隨之顯現。劇、利用臺灣股市所有投資人之委託檔與成交檔,本文發現個別投資人買進輸家、賣出贏家,傾向為反向交易者(contrarian traders),但外資及投信皆為動能交易者(momentum traders)。下單積極度方面,整體而言,個別投資的委託單對股價影響仍是最高;在三大法人間,投信與自營商皆較外資積極。第三、當形成期市場狀況改變時,投資人下單策略與成交情況也隨之改變。 |
英文摘要 | The purpose of this paper is to inspect the existence of the momentum effect in the Taiwan stock market and analyze investors’ order submission strategies for both winner and loser tocks. This paper finds that, as the government opens the financial markets to foreign investors, the momentum effect gradually becomes more evident. The examination of order and execution data confirms that individuals tend to be contrarian traders and institutional traders tend to be momentum traders. Individual investors who buy loser stocks and sell winner stocks have the highest impact on stock prices. Individual and institutional investors are often more aggressive than other investors. Finally, when the market conditions change, their order submission strategies and trading consequences change accordingly. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。