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研究生:楊清芬
研究生(外文):Ching-Fen Yang
論文名稱:資訊交易機率之測度及其決定因素探討
論文名稱(外文):The Probability of Informed Trading and its Determinants
指導教授:馬黛馬黛引用關係
指導教授(外文):Tai Ma
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
論文頁數:183
中文關鍵詞:資訊不對稱日內型態資訊交易機率週內型態股票報酬
外文關鍵詞:Marovian Switching ModelStock ReturnsInformation asymmetryInterday PatternIntraday PatternProbability of informed trading
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本篇文章主要是全面地檢視投資者所面臨之資訊交易風險,包括:資訊交易風險的直接測度,資訊交易風險之橫斷面及時間面的決定因素探討,以及資訊交易風險和股票報酬關聯性,以及私有資訊釋放速度的探討.本文主要是以台灣股市進行實證研究.
目錄………………………………………………1
圖表目錄…………………………………………5
第1章 緒論………………………………8
1.1 研究動機………………………………8
1.2 研究目的………………………………9
1.3 研究架構與內容……………………11
第2章 文獻探討………………………13
第一部份:資訊交易之測度…………………13
2.1 測度資訊交易機率之模型……………14
2.1.1 資訊交易機率之定義…………………14
2.1.2 Easley, Kiefer, O’Hara, and Paperman Model(1996)……17
2.1.3 Easley, Kiefer, and O’Hara Model(1997)………………21
2.1.4 Handa, Schwartz, and Tiwari Model(1997)………………25
2.1.5 Nyholm Model(2000)………………………………29
2.1.6 Ma, Hsieh, and Chen Model(2000)………………………33
2.1.7 資訊交易機率測度模型之比較分析………………………36
2.2 資訊交易內涵及其間接的衡量變數…………40
2.2.1 價格變動………………………………………40
2.2.2 買賣價差…………………………………………………41
2.2.3 每筆成交量……………………………………………41
2.2.4 股票週轉率………………………………………………42
2.2.5 非系統風險………………………………………………43
2.2.6 內部人持股………………………………………………43
2.2.7 企業成長性…………………………44
第二部份:資訊交易決定因素探討…………46
2.3 資訊交易決定因素探討_就證券市場面…………46
2.3.1 股票流動性/市場深度……………………46
2.3.2 交易量………………………………………47
2.3.3 透明度………………………………………48
2.3.4 交易時點……………………………………48
2.4 資訊交易決定因素探討_就公司特質面………50
2.4.1 公司規模………………………………………50
2.4.2 股權結構………………………………………50
2.4.3 企業財務槓桿度………………………………51
2.4.4 企業未來成長性………………………………51
2.4.5 資產透明度……………………………52
2.4.6 資訊揭示時點_月營收、季報、股利、庫藏股購回、合併宣告…52
第三部份:資訊交易與股票報酬…………………………………55
2.5 資訊交易和股票報酬間之關連性………………55
第3章 研究假說…………………………………58
3.1 資訊交易機率與資訊內涵之間接變數間…………58
3.2 資訊交易機率及其決定因素間………………………64
3.3 資訊交易機率之時間型態_資訊釋放速度………71
3.4 資訊交易機率和股票報酬間……………………73
第4章 研究方法…………………………………75
4.1 資訊交易機率之測度……………………………75
4.2 資訊交易機率和資訊內涵之間接變數之關連性探討……82
4.3 資訊交易機率及其決定因素之關連性探討……83
4.4 資訊交易機率及部分市場微結構變數之時間型態…86
4.5 資訊交易機率和資產報酬之關連性探討………87
第5章 樣本資料…………………………………90
5.1 研究背景描述……………………………………90
5.2 樣本資料來源及樣本資料篩選…………………91
5.3 變數定義及篩選後樣本資料之敘述統計……94
5.3.1 變數的定義……………………………………94
5.3.2 樣本資料之敘述統計…………………………98
第6章 實證結果與分析…………………………106
6.1 資訊交易機率及其代理變數……………………106
6.2 資訊交易機率及其證券市場面的影響因素……109
6.3 資訊交易機率之日內型態及週內型態…………118
6.3.1 資訊交易機率之日內型態分析………………118
6.3.2 資訊交易機率之週內型態分析……………125
6.4 資訊交易機率及其公司特質面的影響因素……133
6.5 資訊交易機率之事件研究………………………149
6.6 資訊交易機率及其決定因素之綜合探討………153
6.7 資訊交易機率和股票報酬………………………156
第7章 結論與建議………………………………162
7.1 結論………………………………………………162
7.2 建議………………………………………………165
參考文獻……………………………………………………167
附錄………………………………………………………177
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