快速撤单的决定因素及其对流动性的影响——来自台湾股票市场的证据

发布时间：2018-05-18 22:43

本文选题：快速撤单 + 流动性　；参考：《厦门大学学报(哲学社会科学版)》2017年05期

【摘要】：程序化、自动化交易降低了监视市况的成本,促成投资者大量且快速撤单。在台湾股票市场,三分之一以上的撤单发生在60秒之内。针对台湾股市投资者快速撤单行为决定因素的研究发现,市场波动率、投资者参与度和积极委托单的不确定性增加时,三种类型投资者(岛内机构投资者、岛外机构投资者和散户)快速撤单的比例均有显著的提升;但是,机构投资者和散户的快速撤单行为对流动性变化的反应不同:流动性匮乏时,机构投资者倾向于减少快速撤单,而散户则相反。通过检验快速撤单对市场流动性的影响,可以发现,快速撤单整体上有助于改善市场流动性。这是因为平均而言投资者快速撤单后倾向于提交更积极的委托单。进一步的研究还发现,由于不同类型的投资者在资金实力、持股偏好和交易策略等方面存在差异,上述结论在不同类型投资者和不同市值的公司中间发生了分化。
[Abstract]:Programmed, automated trading reduces the cost of monitoring market conditions, prompting large and rapid withdrawals by investors. In the Taiwan stock market, more than 1/3 withdrawals occurred within 60 seconds. A study on the determinants of fast withdrawal behavior of investors in Taiwan stock market shows that when volatility, investor participation and uncertainty of active orders increase, there are three types of investors (institutional investors on the island). There was a significant increase in the rate of rapid withdrawal of orders by both institutional investors and retail investors outside the island; however, the rapid withdrawal behavior of institutional investors and retail investors had different responses to changes in liquidity: when liquidity was scarce, Institutional investors tend to cut back on quick withdrawals, while retail investors do the opposite. By examining the effect of rapid withdrawal on market liquidity, it can be found that rapid withdrawal is helpful to improve market liquidity as a whole. This is because, on average, investors tend to submit more aggressive orders after quick withdrawal. Further research also found that different types of investors have different financial strength, preference of holding shares and trading strategies, so the above conclusions are divided among different types of investors and different market value companies.
【作者单位】：厦门大学经济学院;淡江大学财务金融学系;
【基金】：国家自然科学基金“资产价格中隐含通货膨胀信息的提取、分析与应用”(71371161);国家自然科学基金“波动率微笑:隐含信息与动态建模”(71471155)
【分类号】：F832.51

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