| Summary: | 碩士 === 國立臺灣師範大學 === 高階經理人企業管理碩士在職專班(EMBA) === 102 === This study is concerned with the actual deal and order data in Taiwan futures market, reference sample period totaled 247 trading days since January 1, 2007 to December 31, 2007. Using the FIFO method to calculate each investor's ROI, capture at least more than 60 times offset record, according to return of investment divided data into the 10% of poor ROI and 10% of outstanding ROI, for investment behavior include cancel-order, reduce-order, the total order volume, the average order volume,order-activeness and high-frequency trading and so on, is there a significant difference between the outstanding ROI and the poor ROI. The results showed that the behavior of reduce-order on those poor ROI is a significant higher than those outstanding ROI, the behavior of order-activeness on those outstanding ROI is a significant higher than those poor ROI, however, the high-frequency trading on those outstanding ROI is a significant higher than those poor ROI. In addition, the trading hours into the opening, intraday and closing, the results showed that the closed position (Cover) has a U-shaped phenomenon, the outstanding ROI investor prefer to profit-taking at opening session, the poor ROI investor tend to close position at closing session.
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