台灣股票市場資訊交易者下單行為之研究
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2010/08-2011/07
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隱藏性交易為資訊交易者將其原本較大的交易量切分成一系列較小的委託單，以隱藏其 私有資訊並降低其交易對市場之衝擊的一種下單策略。之前文獻研究指出，大型委託單 對市場衝擊太大，且不利於資訊交易者隱藏私有資訊，而小型委託單規模不夠，無法達 到資訊交易者利用私有資訊獲利的目的，介於兩者間的中型委託單因此成為資訊交易者 的最佳選擇，實證結果顯示，中型委託單內含的資訊遠高於大型及小型的委託單，其對 市場價格變動的影響亦較顯著。然而，過去文獻研究相關議題時，因無法取得委託單資 料庫，大多以每筆實際交易量而非以每筆成交委託單，作為探討投資人下單策略之研究 標的，此研究限制，嚴重影響對隱藏性交易假說的檢定。此外，大多數相關文獻，皆著 重在報價驅動市場之探討，對委託單驅動市場隱藏性交易行為之研究較為不足。本研究 取得台灣證券交易所2005 及2006 兩年之委託檔及成交檔資料，分析不同種類投資人 在委託單驅動市場中之隱藏性交易行為，以及此種交易行為對股票報酬日內U 型表現之 影響。本研究將已成交之委託單根據委託單大小、委託單積極程度、委託單交易者分類， 探討不同種類的委託單之資訊內涵。初步結果顯示，較不積極的外資小型委託單在台灣 市場的平均股價報酬最大，所內含的資訊性較高，而其影響與資訊性在開盤前三十分鐘 與收盤前三十分鐘尤為顯著。以每筆成交委託單分析的結果較以每筆實際交易量之結果 為顯著。本研究整體的初步結果，提供學術上在投資人交易行為與股票報酬日內表現等 主題更進一步新的實證探討。
Stealth trading is the strategy used by informed traders to break up trades into sequences of smaller trades in order to reduce their impact on market prices. Medium-sized trades which provide an optimal trade-off between the desired scale of the transaction and the objective of concealing information therefore contain more information than small- and large-sized ones and have stronger impact on stock price movement. However, most literature uses the trade size instead of the order size when investigating investors’order submission strategies due to data unavailability, which places important limitation on the ability to test the stealth trading hypothesis. Using the comprehensive tick data of the limit order book and the transactions for Taiwan Stock Exchange from 1/1/2005 to 12/31/2006, this paper examines stealth trading behavior for different types of investors and its effect on the U-shaped intraday pattern of returns. We find that small-sized passive orders from institutional investors in the earlier and later trading sessions have the greatest disproportional large returns. The non- monotonicity between trade size and price change is more prominent when executed order data, instead of transaction data, are adopted in the analysis.
Stealth trading is the strategy used by informed traders to break up trades into sequences of smaller trades in order to reduce their impact on market prices. Medium-sized trades which provide an optimal trade-off between the desired scale of the transaction and the objective of concealing information therefore contain more information than small- and large-sized ones and have stronger impact on stock price movement. However, most literature uses the trade size instead of the order size when investigating investors’order submission strategies due to data unavailability, which places important limitation on the ability to test the stealth trading hypothesis. Using the comprehensive tick data of the limit order book and the transactions for Taiwan Stock Exchange from 1/1/2005 to 12/31/2006, this paper examines stealth trading behavior for different types of investors and its effect on the U-shaped intraday pattern of returns. We find that small-sized passive orders from institutional investors in the earlier and later trading sessions have the greatest disproportional large returns. The non- monotonicity between trade size and price change is more prominent when executed order data, instead of transaction data, are adopted in the analysis.