Does Stock Traders’ Order Aggressiveness Predict Future Return? Evidence from an Order-driven Market

[[abstract]]摘要 本文檢驗台灣股票市場各類型投資人的委託單積極度、股票報酬和投資績效之間的關係。本文使用臺灣證券交易所提供之日內交易委託檔、成交檔及揭示檔來建構資料，並依據投資人類型計算每日委託單積極度和投資績效。本文提出下列數個結果：(1)外資和投信相對於其它法人和個別投資人有更積極的交易行為。(2)買賣方有不對稱的現象。(3)專業法人的積極買單和大額買單有關資訊交易行為。(4)本文的主要結果不受到公司規模、周轉率和市場條件的影響。[[abstract]]Abstract This paper examines the relation between order aggressiveness, stock return and investment performance across investor classes on the Taiwan Stock Exchange. We combine the intraday order-level data, transaction-level data, and display information to construct the daily value-weighted order aggressiveness and investment performance across investor types. Our results reveal several findings: 1) Foreign investors and mutual funds are more aggressive than other institutions and individuals in both buy and sell sides. 2) There exist asymmetric effects between buy and sell orders. 3) Professional institutions’ aggressive buy orders and their large sell orders are related to the informed trading. 4) Our main results are not driven by firm size, turnover rates, and market conditions.[[note]]碩