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投資人下單策略之研究

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表 1 積極性定義  下單積極性程度 (A i )  買方  賣方  1  (積極性最高)  委託單買價等於漲停價。  委託單賣價等於跌停價。  2  (1)  委託單買價大於揭示最佳一檔賣價,但小於漲停價。  (2)  委託量>最佳委託賣單 量  (1)  委託單賣價小於揭示最佳一檔買價,但大於跌停價。 (2)  委託量>最佳委託買單量  3  (1)  委託單買價大於揭示最佳一檔賣價,但小於漲停價。  (2)  委託量≦最佳委託賣單 量  (1)  委託單賣價小於揭示最佳一檔買價,但大於跌停價。 (2)
表 2 市場指標敘述性統計   期間 1  期間 2  差異(2-1)  指標  平均值  中位數  平均值  中位數  平均值  中位數  價格波動性  0.114  0.000  0.122  0.000  0.007 ************ 0.000      報酬率標準差  0.061  0.056  0.065  0.060  0.004 ************ 0.004 ************ 最佳買賣價差  0.112  0.096  0.114  0.096  0.002 ****
表 3 買賣積極性跨期比較
表 4 影響各類投資人下單積極性 order probit 分析 Panel A:  全部樣本  自變數  外資  自營商  投信  國內其他法人  自然人  code  0.010 ***  -0.181 ***  -0.044 ***  -0.013 ***  -0.012  ***  dmbuy  0.032 ***  0.022 ***  0.111 ***  0.148 ***  -0.378  ***  codebuy  0.010 ***  0.040 ***  -0.238 ***  -0.
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