Information Disclosure During The Closing Session, Industries, and Investors’ Order Choices

• Main Authors: Meng-Chia Li, 李孟佳
• Other Authors: Yi-Heng Tseng
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/bjsemr

碩士 === 元智大學 === 經營管理碩士班(國際企業學程) === 101 === This research presents that individual and foreign investors adopt and change their order strategy with information disclosure in high and low technology industries, in the last thirty minutes during the intraday and closing session and in TWSE. This research use two stages regression model to examine the relation between order aggressive and some factors, such as spread, and volatility. Contribution in the research are the followings. Individual investors are more aggressive than foreign investors to order in high technology industry. In contrast, foreign investors are more aggressive than individual investors to order in low technology industry. However, foreign investors prefer to order in high technology industry than in low technology industry. Individual and foreign investors are more aggressive to order when the spread and volatility decrease in two industries. Furthermore, in the analysis of order cancellation, individual become more aggressive to cancel orders, but foreign investors aren’t aggressive to cancel orders. Besides, foreign investors increase order cancellations number to cover their information found in closing session.