| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | Ma,Tai ;Hsieh,Ming-hua ;Chen,Jan-hung | en_US |
| dc.creator (作者) | 馬黛;謝明華;陳健宏 | zh_TW |
| dc.date (日期) | 2007-11 | en_US |
| dc.date.accessioned | 27-Feb-2014 17:06:31 (UTC+8) | - |
| dc.date.available | 27-Feb-2014 17:06:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 27-Feb-2014 17:06:31 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64293 | - |
| dc.description.abstract (摘要) | We estimate the probability of informed trading (Pi) in an order–driven stock market and perform a comprehensive analysis on the interrelations among Pi and three common performance indicators: liquidity, volatility, and efficiency. We find that uninformed traders exhibit price chasing behavior, and price volatility attracts uninformed traders. Using 3SLS which considers the endogeneity of Pi and the liquidity, volatility and efficiency measures, we find that Pi and the volatility and liquidity are simultaneously determined. Higher Pi leads to lower liquidity and higher volatility, and vice versa. Firms with larger size, higher ownership concentration, and lower turnover have higher Pi. | en_US |
| dc.format.extent | 384272 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Asia-Pacific Journal of Financial Studies, 36(6), 871-896 | en_US |
| dc.subject (關鍵詞) | Probability of Informed Trading; Liquidity; Efficiency; Volatility; Order-Driven Market | en_US |
| dc.title (題名) | The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market | en_US |
| dc.type (資料類型) | article | en |
