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研究生:張益銓
研究生(外文):Yi-Chuan Chang
論文名稱:雜訊交易者與過度自信之資訊交易者對市場品質之影響
論文名稱(外文):The Impact of Noise Trader and Overconfident Informed Trader on Market quality
指導教授:蔡錦堂蔡錦堂引用關係
指導教授(外文):Jiin-Tarng Tsay
學位類別:碩士
校院名稱:國立臺北商業技術學院
系所名稱:財務金融研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:56
中文關鍵詞:雜訊交易者過度自信之資訊交易者市場品質市場深度資訊不對稱
外文關鍵詞:Noise traderOverconfident informed traderMarket qualityMardet depthAsymmetric information
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本研究延伸Kyle(1985)與Daniel, Hirshleifer and Subrahmanyam(1998)所建構之模型,額外加入雜訊交易者,探討雜訊交易者與過度自信交易者對市場品質的影響。本研究之市場品質包括:市場深度、市場價格波動性、所有交易者之期望利潤。
研究結果發現,若資訊交易者過度自信程度愈嚴重,且雜訊交易者收到的謠言背離程度愈大,雖然造成市場深度愈小或非資訊交易者期望損失愈大的情形愈不明顯,但卻增加市場不均衡情形。對於不利於市場深度或非資訊交易者期望損失之區域,比例由60%(無過度自信),降低為53.3%(過度自信程度中等),最後卻增加為60.6%(過度自信程度嚴重)。因此,資訊交易者的過度自信程度與雜訊交易者收到的謠言背離程度為影響市場品質的重要因素。
本研究建議政府當局應當加強資訊之揭露,以降低資訊不對稱之情形,並研懲惡意謠言的散播,以降低雜訊交易之產生,使市場能夠更具效率性。


This study extends the model of Kyle(1985) and Daniel, Hirshleifer and Subrahmanyam(1998)by considering the noise trader. It investigates the impacets of noise trader and overconfident informed trader on market quality. In this study, market quality includes market depth, price volatility, and expected profits of all traders.
The result shows that if the informed trader keeps the higher overconfidence and the noise trader receives the noise with the higher deviation from the reality, it is insignificant that the lower market depth or higher expected loss of the uninformed trader, but it increase the market non-equilibrum. The areas are disadvantageous on market depth or expected loss of the uninformed trader, the percentage is 60% under the informed trader with non-overconfidence. The percentage comes down to 53.3% with the moderate overconfidence. Finally, the percentage increases to 60.6% with the critical overconfidence. Therefore, the informed trader with the degree of overconfidence and the noise trader receiving the noise with the degree of deviation from the reality are both important factors on market quality.
In order to making the market more efficiently, this study suggests that the government should enhance the information disclosure to reduce asymmetric information and severely punish people who maliciously spread rumors to diminish the noise trading.
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