| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 98 === There are more and more literatures to discuss the duration because the high frequency intraday data are obtained easily. The duration plays an important role in the microstructure market. Most of scholars employ fixed interval data to investigate the related issues in the past, but this possibly measure the influence of information incompletely.
In this study, drawing out TXF as sample data and selecting the EACD model to examine the influence of the Taiwan presidential election on the price durations of all traders and different traders with many variables, including volume, buy/sell code and return. The result show that except domestic institutional investors there are significant differences between the pre- and post-presidential election. Then, observing the relation of price durations and conditional mean durations of every traders find that the conditional mean durations of individual investors and overseas foreign institutional investors are longer than the conditional mean durations of all. In addition, applying GARCH model to discuss the relation between conditional mean durations and change rate of price or change rate of volume. The empirical results indicate the important election activity can actually make impact on the finance market.
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