DC 欄位 | 值 | 語言 |
dc.contributor.author | 胡星陽 | zh_TW |
dc.creator | 胡星陽 | - |
dc.date | 2003 | zh_TW |
dc.date.accessioned | 2006-07-26 | - |
dc.date.accessioned | 2018-07-09T08:03:01Z | - |
dc.date.available | 2006-07-26 | - |
dc.date.available | 2018-07-09T08:03:01Z | - |
dc.date.issued | 2003 | - |
dc.identifier | 912416H002037 | zh_TW |
dc.identifier.uri | http://ntur.lib.ntu.edu.tw//handle/246246/16278 | - |
dc.description.abstract | 本計畫研究限價單在委託單驅動市場所扮演的角色。過去大多數文獻都認為
市場創造者或一般投資人下限價單是為了提供流動性,也有少數文獻認為投資人
也可能基於私有資訊而下限價單。計畫希望藉由提供證據,以瞭解限價單是否具有資訊含量。在不同的交易動機下,本計畫提出可驗證假說,並以委託單驅動市場的實際
資料,探討限價單、市價單、買賣價和成交價等變數之間的統計關係,檢驗假說。 | zh_TW |
dc.description.abstract | This study examines the limit order in order-driven markets. While most
previous research assumes that market makers or investors submit limit orders to
provide liquidity, some assume that informed investors would choose to submit limit
orders. This study provides evidence on the information content of limit orders.
Under different motivations of investors, this study provides testable hypotheses
and associated evidence. In particular, it uses the time-series relation between limit
orders, market orders, bid-ask quotes, and transaction prices to test hypotheses. It also
distinguishes new orders from existing ones on the book. | en |
dc.format | application/pdf | zh_TW |
dc.format.extent | 34740 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language | zh-TW | zh_TW |
dc.language.iso | zh_TW | - |
dc.publisher | 臺北市:國立臺灣大學財務金融學系暨研究所 | zh_TW |
dc.rights | 國立臺灣大學財務金融學系暨研究所 | zh_TW |
dc.subject | 限價單 | zh_TW |
dc.subject | 私有資訊 | zh_TW |
dc.subject | 買賣價 | zh_TW |
dc.subject | 成交價 | zh_TW |
dc.subject | limit order | en |
dc.subject | private information | en |
dc.subject | quote | en |
dc.subject | price | en |
dc.title | 限價委託單的資訊含量 | zh_TW |
dc.title.alternative | The information content of limit orders | en |
dc.type | report | en |
dc.identifier.uri.fulltext | http://ntur.lib.ntu.edu.tw/bitstream/246246/16278/1/912416H002037.pdf | - |
dc.coverage | 計畫年度:91;起迄日期:2002-08-01/2003-10-31 | zh_TW |
item.openairetype | report | - |
item.openairecristype | http://purl.org/coar/resource_type/c_93fc | - |
item.fulltext | with fulltext | - |
item.grantfulltext | open | - |
item.languageiso639-1 | zh_TW | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | Finance | - |
crisitem.author.orcid | 0000-0002-7387-234X | - |
crisitem.author.parentorg | College of Management | - |
顯示於: | 財務金融學系
|