题  目：Trades by Investors and Liquidity Commonality in the Taiwan Stock Market

主讲人：萧朝兴教授   台湾国立东华大学

时  间：2011年9月3日下午3:00
 
地  点：主楼六层会议室

主讲人简介：

　　萧朝兴教授，美国马里兰大学帕克学院经济学博士，现就职于台湾国立东华大学金融系，主要从事行为金融学和市场微观结构的研究。最近三年内在台湾国立东华大学开授计量财务经济学、投资学、财务经济学、行为财务学、财务管理等课程，多次担任东华大学财务金融系教评委员、校教评委员等职务。近年来，先后独立、合作撰写学术论文近40篇，曾获社团法人中华民国管理科学学会“吕凤章先生纪念奖章”。
 
内容简介：

　　Applying order-level data and reconstructing the limit order book, this paper confirms the existence of liquidity commonality in the Taiwan Stock Exchange. Specifically, first, large stocks are more sensitive than small stocks to market-wide liquidity variations. Second, the further the price away from the best quotes, the stronger liquidity commonality. Third, commonality rises when market falls or becomes more volatile. Fourth, the order-imbalance comovement is mainly driven by individual investors. Finally, individual investors’ correlated order submission behavior is the driving force of liquidity commonality, and opposite to that of foreign investors, which offsets part of the impacts on liquidity commonality.

（承办：能源与环境政策研究中心）