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研究生:胡桂華
研究生(外文):Kueihwa Hu
論文名稱:台灣股票市場訊息交易之研究
論文名稱(外文):Informed Trading on the Taiwan Stock Exchange
指導教授:郭維裕郭維裕引用關係
指導教授(外文):Weiyu Kuo
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:英文
論文頁數:34
中文關鍵詞:訊息交易有訊息投資人沒有訊息投資人
外文關鍵詞:informed tradeinformed traderuninformed trader
相關次數:
  • 被引用被引用:4
  • 點閱點閱:208
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  • 下載下載:32
  • 收藏至我的研究室書目清單書目收藏:1
根據Easley, Kiefer, O’Hara and Paperman (1996)所發展的模型,我們可以對台灣證券交易所上市的股票進行訊息交易的研究。我們的結果顯示,交易越活絡的股票含有訊息交易的機率越低;而這與Easley, Kiefer, O’Hara and Paperman的研究結果一致;換句話說,紐約證券交易所與台灣證券交易所的股票對於訊息交易都有類似的特性。因此,根據研究結果,沒有訊息的投資人應該多去交易較活絡或交易量較大的股票,因為這些股票含有訊息交易的機率較低。
Following the empirical model developed by Easley, Kiefer, O’Hara and Paperman (1996), we have investigated the information content of the stocks on the TSEC. Our result reveals that more liquid stocks have the lower risk of informed trade than do less liquid stocks and this is basically consistent with the finding of Easley, Kiefer, O’Hara and Paperman. Stocks on the NYSE and the TSEC have similar characteristics of informed trade. Therefore, for uninformed traders, it is better for them to trade stocks which are more liquid and have higher trading volume.
Ⅰ. Introduction 1-4
Ⅱ. The Model 4-12
A. Trade Process 4-8
B. Trades and Prices 8-9
C. The Likelihood Function 10-12
Ⅲ. The Data 12-15
A.Sample Selection 12-14
B. Trade Data 14-15
Ⅳ. Estimation 16-22
A.Parameter Estimates 16-21
B.The Probability of Informed Trade 21-22
Ⅴ. Conclusion 23
Reference 24
Table1 25-27
Table2 28-32
Table3 33
Table4 34
Admati, A.R. and P., Pfleiderer, 1988, A Theory of Intraday Patterns: Volume and Price Variability, Review of Financial Studies 1, 3-40.
Bagehot, W., 1971, The Only Game in Town, Financial Analysts Journal, March-April, 12-22.
Easley, D., Kiefer, N., O’Hara, M., and Paperman, J.B., 1996, Liquidity, Information and Infrequently Traded Stocks, Journal of Finance 51, 1405-1436.
Easley, D., Kiefer, N., and O’Hara, M., 1997, The Information Content of the Trading Process, Journal of Empirical Finance 4, 159-186.
Easley, D., Kiefer, N., and O’Hara, M., 1997, One Day in the Life of a Very Common stock, Review of Financial Studies 10, 805-835.
Easley, D., Hvidkjaer, S., and O’Hara, M., 2000, Is Information Risk a Determinant of Asset Returns?, Working Paper, Cornell University.
Kyle, A.S., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335.
Lee, C., and M., Ready, 1991, Inferring Trade Direction from Intraday Data, Journal of Finance 46, 733-746.
Stoll, H.R., 1992, Principles of Trading Market Structure, Journal of Financial Services Research 6, 75-107.
S., Hu and C., Chan, 2000, Trade Direction in Order-Driven Markets-Definition, Inference, and Evidence, Working Paper, Social Science Research Network Electronic Paper Collection:http://papers.ssrn.com/paper.taf?abstract_id=250704.
Y., Lee, J., Lin, and Y., Liu, 1999, Trading Patterns of Big versus Small Players in an Emerging Market:An Empirical Analysis, Journal of Banking and Finance 23, 701-725.
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