The Effect of Frequency of Order Arrival and Magnet Effect - A Study of High Price Stock and Low Price Stock in Taiwan Stock Market

• Main Authors: Tzu-Hsiang Liao, 廖梓翔
• Other Authors: Yi-Heng Tseng
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/59dq6z

碩士 === 元智大學 === 經營管理碩士班(國際企業學程) === 105 === This thesis focus on intraday trading in Taiwan stock market from 2015/2/11-2015/3/31 under the 5-second clearing time. We use Ordinary Least Square (OLS) model to detect whether the individual investor or the institutional investors will influence the frequency of order arrival under magnet effect. The study also used high-priced stocks and low-priced stocks to detect the frequency of order arrival, the final results find out that both individual or institutional investors’ impact are more significant for low-priced stocks under the frequency of order arrival.