臺灣博碩士論文加值系統

本研究採用Henke (2007)未發表文章的資訊交易延伸模型，嘗試在Easley et al. (1996)資訊交易模型中加入投資人情緒的因子，我們以台灣股票市場中流動性較差的股票為研究對象，探討當市場情緒為樂觀或悲觀下，私有訊息交易對訂單不平衡的影響。實證結果顯示，雜訊交易者的下單量較少，亦即積極交易的股票較容易觀察到雜訊交易。此外，流動性較差的股票存在高度資訊不對稱的風險，亦即資訊交易者的下單量大於雜訊交易者的下單量。並且，投資人大多為情緒交易者，亦即投資人情緒是市場廣泛的系統性風險。再者，考慮投資人情緒下，私有訊息交易機率對訂單不平衡有顯著的正向影響，亦即訂單不平衡的來源不僅僅是私有訊息，投資人情緒亦扮演重要的角色。

中文摘要 i
英文摘要 ii
致謝辭 iii
目錄 iv
表目錄 vi
圖目錄 vii
第一章　緒論 1
1.1 研究動機與目的 1
1.2 研究流程 3
第二章　文獻回顧 6
2.1 投資人情緒相關文獻 6
2.2 資訊交易相關文獻 7
2.2.1 私有訊息 7
2.2.2 資訊交易 9
2.3 訂單不平衡相關文獻 11
第三章 研究方法 14
3.1 研究假說 14
3.2 模型假設 16
3.3 Henke (2007)資訊交易延伸模型 17
3.3.1 交易過程 18
3.3.2 概似函數 20
3.4 訂單不平衡迴歸檢定 21
3.4.1 控制變數 21
3.4.2 應變數 25
3.4.3 訂單不平衡迴歸式 26
第四章 實證結果 28
4.1 樣本選取與處理 28
4.2 參數估計結果與敘述性統計 30
4.3 變數敘述性統計與相關性分析 32
4.4 迴歸檢定結果 35
4.5 模型穩健度分析 37
4.5.1 EKOP (1996)資訊交易模型 37
4.5.2 穩健度分析結果 40
第五章 結論與建議 43
5.1 結論 43
5.2 後續研究建議 45
附錄 個股參數估計結果 46
參考文獻 50

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