胡星陽2006-07-262018-07-092006-07-262018-07-092003http://ntur.lib.ntu.edu.tw//handle/246246/16278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。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.application/pdf34740 bytesapplication/pdfzh-TW國立臺灣大學財務金融學系暨研究所限價單私有資訊買賣價成交價limit orderprivate informationquotepricereporthttp://ntur.lib.ntu.edu.tw/bitstream/246246/16278/1/912416H002037.pdf