題 目：Trades by Investors and Liquidity Commonality in the Taiwan Stock Market
主講人：蕭朝興教授 臺灣國立東華大學
時 間：2011年9月3日下午3:00
地 點：主樓六層會議室
主講人簡介：
蕭朝興教授，美國馬里蘭大學帕克學院經濟學博士，現就職于臺灣國立東華大學金融系，主要從事行為金融學和市場微觀結構的研究。最近三年內在臺灣國立東華大學開授計量財務經濟學、投資學、財務經濟學、行為財務學、財務管理等課程，多次擔任東華大學財務金融系教評委員、校教評委員等職務。近年來，先后獨立、合作撰寫學術論文近40篇，曾獲社團法人中華民國管理科學學會“呂鳳章先生紀念獎章”。
內容簡介：
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.
（承辦：能源與環境政策研究中心）
