Lunch Effect, Weather Effect, and Investor's Order Behavior-A Study of Electronic Industry and Non-electronic Industry in Taiwan Stock Market

• Main Authors: Juei-Yang Hung, 洪瑞陽
• Other Authors: Yi Heng Tseng
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/y9upb3

碩士 === 元智大學 === 經營管理碩士班(國際企業學程) === 103 === This research aims to observe the lunch effect and weather effect of electronic industry and non-electronic industry during in Taiwan stock market. The sample period is from November 21, 2011 to May 15, 2012, and the total is 118 trading days. By the limit order book samples, this research trys to observe the order aggressiveness of investors, and try to do further analysis by ordered probit model. The result reveals significant lunch effect on the order time and institution investors have higher probitality to take orders than natural person investors. However, lunch effect is not significant on order aggressiveness. Besides, this research finds out that good weather perhaps bring negative effect to investors instead, and the negative effect of temperature to price order aggressiveness is significant. Finally, the interaction between luch effect and weather effect is not significant on order aggressiveness.