| dc.contributor.advisor | 謝淑貞 | zh_TW |
| dc.contributor.advisor | Shieh, Shwu Jane | en_US |
| dc.contributor.author (作者) | 胡昌國 | zh_TW |
| dc.contributor.author (作者) | Hu, Chang Kuo | en_US |
| dc.creator (作者) | 胡昌國 | zh_TW |
| dc.creator (作者) | Hu, Chang Kuo | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 11-九月-2009 17:09:57 (UTC+8) | - |
| dc.date.available | 11-九月-2009 17:09:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-九月-2009 17:09:57 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0913515042 | en_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) | 91351504 | zh_TW |
| dc.description (描述) | 96 | zh_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/#G0913515042 | en_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 trading | en_US |
| dc.subject (關鍵詞) | positive feedback trading | en_US |
| dc.subject (關鍵詞) | inertial trading | en_US |
| dc.subject (關鍵詞) | value of information | en_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 trades | en_US |
| dc.type (資料類型) | thesis | en |
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