最佳五檔資訊內涵

• Main Author: 陳筑音
• Other Authors: 姜堯民
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/08833633524724260340

碩士 === 國立政治大學 === 財務管理研究所 === 95 === Since January 2nd, 2003, the Taiwan Stock Exchange Corporation (TSEC) started to disclose the information of the best five bids/asks and volumes. The disclosure of the best five bids/asks and volumes enhances the pre-trade transparency. With the disclosure , investors will get more information to help the decision making. This paper employs the intraday five asks/bids and volumes of the Taiwan stock exchange to analysis the liquidity traders’ investments. According to the experiments, we first find the predictive power of the market orders and lag return. However, we don’t demonstrate that the liquidity buying pressure can predict the future return. Besides, we also find that liquidity traders are likely to arrive at the market together (commonality) .