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題名 慣性噪音下的內部人交易
Inside trading with inertial noise trades
作者 胡昌國
Hu, Chang Kuo
貢獻者 謝淑貞
Shieh, Shwu Jane
胡昌國
Hu, Chang Kuo
關鍵詞 內部人交易
正向回饋交易
慣性交易
資訊價值
insider trading
positive feedback trading
inertial trading
value of information
日期 2007
上傳時間 11-Sep-2009 17:09:57 (UTC+8)
摘要 Abstract
     
     Based on the sequential auction model of Kyle (1985) and embedded the formulation of positive feedback traders in De Long et al. (1990), our model formulates a recursive market game of insiders, noise traders, and market makers. In particular, the submitted demands of positive feedback inertial traders are influenced by previous own trading quantities. I prove the existence and uniqueness of a recursive linear equilibrium with positive feedback inertial trades. Further, the equilibrium calibrates that the strategies of insider and market makers are also influenced by positive feedback trades. Finally, we conduct a simulation analysis to get a price-volume pattern with some empirical interesting implications.
     
     Finally, this thesis takes trading strategies to trade the individual stock in TSEC. Although the market mechanism of TSEC has no market makers, it is still expected that these trading strategies are useful for traders which implies the information is filtrated by these trading strategies.
參考文獻 Reference
Back, K., 1992, Insider trading in continuous time, Review of Financial Studies, 5, 387-409.
Bagehot, W., 1971, The only game in town, Financial Analysts Journal, 27, 12-14.
Chowdhry, B. and V. Nanda, 1991, Multimarket trading and market liquidity, Review of Financial Studies, 3, 483-511.
Copeland, T. and Galai, D., 1983, Information effects on the bid-ask spreads, Journal of Finance, 38, 1457-1469.
Demsetz H., 1968, The costs of transacting, Quarterly Journal of Economics, 82, 33-53.
Easley, D. and M. O’Hara, 1987, Price, trade size, and information in securities market, Journal of Financial Economics, 19, 69-90.
Fan Yu, 1999, What is the Value of Knowing Uninformed Trades?, Economics Letter, vol. 64, issue1, 87-98.
Freedman, R., 1989, A theory of the impact of international crosslisting, Working paper (Stanford University).
French, K. R. and R. Roll, 1986, Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.
Garman, M., 1976, Market microstructure, Journal of Financial Economics, 3, 257-275.
Glostem, L. R. and P. R. Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71-100.
Grossman, S.J., and J.E. Stiglitz, 1980, On the impossibility of informationally efficient market, American Economic Review, 70, 393-408.
Ho, T., and H. Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, 9, 47-73.
Holden, C. W. and A. Subrahmanyam, 1992, Long lived private information and imperfect competition, Journal of Finance, 47, 247-270.
Hu, C.K. and S. J. Shieh, 2006, Noise Trades are Inertial, Finance Letters, (EconLit)
J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, The Journal of Finance, vol. xlv, no. 2, 379-395.
Kyle, A. S., 1985, Continuous auctions and insider trading, Econometrica, 53, 1315-1335.
Rochet, J. and J. Vila, 1994, Insider trading without normality, Review of Economic Studies, 61, 131-152.
Sharpe, W. F., 1964, Capital asset prices: a theory of market equilibrium under condition of risk, Journal of Finance, 19, 425-442.
Smidt, S., 1971, The road to an efficient stock market, Financial Analysts Journal, 27, 18-20, 64-69.
Stoll, H., 1978, The supply of dealer services in securities markets, Journal of Finance, 33, 1133-1151.
Subrahmanyam, A., 1991b, A theory of trading in stock index futures, Review of Financial Studies, 4, 17-51.
Wang, F. Albert, 1998, Strategic trading, asymmetric information and heterogeneous prior beliefs. Journal of Financial Markets, 1, 321-352.
描述 博士
國立政治大學
國際經營與貿易研究所
91351504
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0913515042
資料類型 thesis
dc.contributor.advisor 謝淑貞zh_TW
dc.contributor.advisor Shieh, Shwu Janeen_US
dc.contributor.author (Authors) 胡昌國zh_TW
dc.contributor.author (Authors) Hu, Chang Kuoen_US
dc.creator (作者) 胡昌國zh_TW
dc.creator (作者) Hu, Chang Kuoen_US
dc.date (日期) 2007en_US
dc.date.accessioned 11-Sep-2009 17:09:57 (UTC+8)-
dc.date.available 11-Sep-2009 17:09:57 (UTC+8)-
dc.date.issued (上傳時間) 11-Sep-2009 17:09:57 (UTC+8)-
dc.identifier (Other Identifiers) G0913515042en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30068-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 91351504zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) Abstract
     
     Based on the sequential auction model of Kyle (1985) and embedded the formulation of positive feedback traders in De Long et al. (1990), our model formulates a recursive market game of insiders, noise traders, and market makers. In particular, the submitted demands of positive feedback inertial traders are influenced by previous own trading quantities. I prove the existence and uniqueness of a recursive linear equilibrium with positive feedback inertial trades. Further, the equilibrium calibrates that the strategies of insider and market makers are also influenced by positive feedback trades. Finally, we conduct a simulation analysis to get a price-volume pattern with some empirical interesting implications.
     
     Finally, this thesis takes trading strategies to trade the individual stock in TSEC. Although the market mechanism of TSEC has no market makers, it is still expected that these trading strategies are useful for traders which implies the information is filtrated by these trading strategies.
en_US
dc.description.tableofcontents CONTENTS
     
     Chapter 1 Introduction 1
     1.1 Background ……………………………………………………………………………………1
     1.2 Motives and Purposes ……………………………………………………………………....3
     1.3 Contributions …………………………………………………………………………………5
     Chapter 2 Literature Review 9
     2.1 Asymmetric information and trading strategies ……………………………………………9
     •A single auction equilibrium in Kyle (1985) ………………………………………………...9
     •A sequential auction equilibrium in Kyle (1985) …………………………………………12
     2.2 The knowledge about noise traders ……………………………………………………….14
     •The noisy signal of noise traders in Yu (1999) …………………………………………..14
     •Positive Feedback Investment Strategies in De Long et al. (1990) ……………………16
     Chapter 3 Noise Trades are Inertial 19
     3.1 The Model ……………………………………………………………………………………21
     3.2 The Equilibrium ……………………………………………………………………………...23
     3.3 Economic Analysis …………………………………………………………………….……25
     Chapter 4 Noise Trades are Positive Feedback Inertial 27
     4.1 The Model ……………………………………………………………………………………31
     •Positive feedback inertial traders ………………………………………………………...31
     •The insider ………………………………………………………………………………….34
     •Market makers ……………………………………………………………………………..35
     4.2 The Equilibrium ……………………………………………………………………………..36
     4.3 Economic Analysis …………………………………………………………………………39
     4.4 Simulation …………………………………………………………………………………...40
     Chapter 5 Trading Strategy with H-ratio 52
     5.1 The Data …………………………………………………………………………………….54
     5.2 H-ratio ……………………………………………………………………………………….55
     5.3 The Trading Strategy ………………………………………………………………………58
     5.4 Results ……………………………………………………………………………………....59
     Chapter 6 Conclusions 62
     Reference 64
     Appendix 67
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0913515042en_US
dc.subject (關鍵詞) 內部人交易zh_TW
dc.subject (關鍵詞) 正向回饋交易zh_TW
dc.subject (關鍵詞) 慣性交易zh_TW
dc.subject (關鍵詞) 資訊價值zh_TW
dc.subject (關鍵詞) insider tradingen_US
dc.subject (關鍵詞) positive feedback tradingen_US
dc.subject (關鍵詞) inertial tradingen_US
dc.subject (關鍵詞) value of informationen_US
dc.title (題名) 慣性噪音下的內部人交易zh_TW
dc.title (題名) Inside trading with inertial noise tradesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Referencezh_TW
dc.relation.reference (參考文獻) Back, K., 1992, Insider trading in continuous time, Review of Financial Studies, 5, 387-409.zh_TW
dc.relation.reference (參考文獻) Bagehot, W., 1971, The only game in town, Financial Analysts Journal, 27, 12-14.zh_TW
dc.relation.reference (參考文獻) Chowdhry, B. and V. Nanda, 1991, Multimarket trading and market liquidity, Review of Financial Studies, 3, 483-511.zh_TW
dc.relation.reference (參考文獻) Copeland, T. and Galai, D., 1983, Information effects on the bid-ask spreads, Journal of Finance, 38, 1457-1469.zh_TW
dc.relation.reference (參考文獻) Demsetz H., 1968, The costs of transacting, Quarterly Journal of Economics, 82, 33-53.zh_TW
dc.relation.reference (參考文獻) Easley, D. and M. O’Hara, 1987, Price, trade size, and information in securities market, Journal of Financial Economics, 19, 69-90.zh_TW
dc.relation.reference (參考文獻) Fan Yu, 1999, What is the Value of Knowing Uninformed Trades?, Economics Letter, vol. 64, issue1, 87-98.zh_TW
dc.relation.reference (參考文獻) Freedman, R., 1989, A theory of the impact of international crosslisting, Working paper (Stanford University).zh_TW
dc.relation.reference (參考文獻) French, K. R. and R. Roll, 1986, Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.zh_TW
dc.relation.reference (參考文獻) Garman, M., 1976, Market microstructure, Journal of Financial Economics, 3, 257-275.zh_TW
dc.relation.reference (參考文獻) Glostem, L. R. and P. R. Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71-100.zh_TW
dc.relation.reference (參考文獻) Grossman, S.J., and J.E. Stiglitz, 1980, On the impossibility of informationally efficient market, American Economic Review, 70, 393-408.zh_TW
dc.relation.reference (參考文獻) Ho, T., and H. Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, 9, 47-73.zh_TW
dc.relation.reference (參考文獻) Holden, C. W. and A. Subrahmanyam, 1992, Long lived private information and imperfect competition, Journal of Finance, 47, 247-270.zh_TW
dc.relation.reference (參考文獻) Hu, C.K. and S. J. Shieh, 2006, Noise Trades are Inertial, Finance Letters, (EconLit)zh_TW
dc.relation.reference (參考文獻) J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, The Journal of Finance, vol. xlv, no. 2, 379-395.zh_TW
dc.relation.reference (參考文獻) Kyle, A. S., 1985, Continuous auctions and insider trading, Econometrica, 53, 1315-1335.zh_TW
dc.relation.reference (參考文獻) Rochet, J. and J. Vila, 1994, Insider trading without normality, Review of Economic Studies, 61, 131-152.zh_TW
dc.relation.reference (參考文獻) Sharpe, W. F., 1964, Capital asset prices: a theory of market equilibrium under condition of risk, Journal of Finance, 19, 425-442.zh_TW
dc.relation.reference (參考文獻) Smidt, S., 1971, The road to an efficient stock market, Financial Analysts Journal, 27, 18-20, 64-69.zh_TW
dc.relation.reference (參考文獻) Stoll, H., 1978, The supply of dealer services in securities markets, Journal of Finance, 33, 1133-1151.zh_TW
dc.relation.reference (參考文獻) Subrahmanyam, A., 1991b, A theory of trading in stock index futures, Review of Financial Studies, 4, 17-51.zh_TW
dc.relation.reference (參考文獻) Wang, F. Albert, 1998, Strategic trading, asymmetric information and heterogeneous prior beliefs. Journal of Financial Markets, 1, 321-352.zh_TW