The Relationship between Pre-trade Transparency, Order Imbalance and Investors' Behavioral Biases

Abstract

本文主要以日資料及高頻率逐筆日內資料探討當揭示資訊更多時是否存在著投資人的行為偏誤以致對市場造成異常影響？實證顯示散戶的委託失衡日內型態大致呈現倒U型，而法人則大致呈現類似W型態的波浪狀，且W型態的高峰點在較透明市場有往前移的現象。另外，散戶在較透明環境的盤中從眾強度會增加，且進一步利用追蹤資料模型與分量迴歸模型發現，散戶與國外法人無論市場是否透明皆有對作的現象，而這情況在透明市場中會發生在較高分位的委託失衡。再者，外資可能因揭示資訊增加更能掌握盤面變化而顯得對本身的決策更加有自信，因為無論是以價或量的指標皆發現其在透明市場的交易更為積極，但另方面也由其委託失衡之日內型態、下單參與率及委託規模發現他們會很精明的在盤中將委託單分散以避免獨佔資訊在透明市場中迅速外漏。

This research analyzes the relationship between pre-trade transparency, order imbalance and investors' behavioral biases. The impact of increasing pre-trade transparency on the varied order behavior is determined for three different types of investors: individual investors, domestic and foreign institutional investors. The empirical results show that the intraday pattern of order imbalance for individual investors exhibits an inverse U-pattern, while that for institutional investors displays a quasi W-pattern and the several peak points of the W-pattern move forward in a more transparent market. Additionally, the measure of herding for individual investors increases as market transparency increases and the current order imbalance of individual investors is significantly negatively affected by the previous order imbalance of foreign institutional investors. As foreign traders produce a larger order imbalance, individual investors begin to pay attention. Foreign traders also seem to be more vigorous and confident in a more transparent market. However, they also try to conceal their real motive by using order splitting strategies to avoid information leaks fast according to the intraday pattern of order imbalance and trading activity.