| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo,Weiyu | en_US |
| dc.contributor.author (Authors) | 簡秀如 | zh_TW |
| dc.contributor.author (Authors) | Chien,Hsiu Ju | en_US |
| dc.creator (作者) | 簡秀如 | zh_TW |
| dc.creator (作者) | Chien,Hsiu Ju | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 8-Dec-2010 13:31:59 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 13:31:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 13:31:59 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095351010 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49546 | - |
| dc.description (描述) | 碩士 | 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) | 95351010 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本篇文章援引Easley and O’Hara (2002) 所完整建構出來的理論模型,探討台灣期貨市場的資訊交易機率。我們選取台灣十年期政府公債期貨為樣本，以兩個月為期間，在流動性考量下，納入日內資料的每筆交易，實証結果顯示，台灣十年期公債期貨市場資訊交易機率僅為0.23。我們將台灣公債期貨市場資訊交易機率低的原因歸因其缺乏流動性，並進一步就流動性低的原因提出解釋。 | zh_TW |
| dc.description.abstract (摘要) | This paper follows Easley and O’Hara (2002) and estimates the probability of information-based trading in Taiwan Futures Market. We use the intraday data of 10-year Government Bond Futures in Taiwan Futures Exchange, including all transactions as trades in a trading day for liquidity. Our empirical result shows that the risk of information-based trading is quite low since the estimated probability of the information-based trading of 10-year Government Bond Futures is only 0.23. We attribute this result to the illiquidity of 10-year Government Bond Futures, and we provide several explanations for the illiquidity. | en_US |
| dc.description.tableofcontents | ＡbstractI. Introduction p.1II. The PIN Model p.6III.Data p.15 IV. Estimation of PIN p.16V.Conclusion p.19 ReferenceAppendix | zh_TW |
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| dc.format.mimetype | application/pdf | - |
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| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095351010 | en_US |
| dc.subject (關鍵詞) | 資訊交易機率 | zh_TW |
| dc.title (題名) | 台灣期貨市場的資訊交易機率 | zh_TW |
| dc.title (題名) | A Study of the Probability of Informed Trading in Taiwan Futures Market | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | [1] David Easley and Maureen O`Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. | zh_TW |
| dc.relation.reference (參考文獻) | [2] David Easley, Nicholas M. Kiefer, Maureen O`Hara, 1997, One day in the life of a very common stock, The Review of Financial Studies, Vol. 10, No. 3, 805-835 | zh_TW |
| dc.relation.reference (參考文獻) | [3] David Easley, Soeren Hvidkjaer, Maureen O`Hara, 2002,Is information risk a determinant of asset returns?”, The Journal of Finance, Vol. 57, No. 5, 2185-2221 | zh_TW |
| dc.relation.reference (參考文獻) | [4] David Easley, Soeren Hvidkjaer, Maureen O`Hara, 2004, Factoring information into returns, Working paper, SSRN | zh_TW |
| dc.relation.reference (參考文獻) | [5] David Easley, Maureen O`Hara, P. S. Srinivas,1998, Option volume and stock prices: Evidence on where informed traders trade”, The Journal of Finance, Vol. 53, No. 2, 431-465 | zh_TW |
| dc.relation.reference (參考文獻) | [6] David Easley, Nicholas M. Kiefer, Maureen O`Hara and Joseph B. Paperman, 1996, Liquidity, information, and infrequently traded stocks, The Journal of Finance, Vol. 51, No. 4, 1405-1436 | zh_TW |
| dc.relation.reference (參考文獻) | [7] Albert S. Kyle, 1985, Continuous auctions and insider trading, Econometrica, Vol. 53, No. 6, 1315-1335 | zh_TW |
| dc.relation.reference (參考文獻) | [8] Charles M. C. Lee and Mark J. Ready, 1991, Inferring trade direction from intraday data, The Journal of Finance, Vol. 46, No. 2, 733-746 | zh_TW |
