學術產出-Theses
Article View/Open
Publication Export
-
題名 台灣股票市場訊息交易之研究
Informed Trading on the Taiwan Stock Exchange作者 胡桂華
Hu, Kuei-Hwa貢獻者 郭維裕
Kuo, Wei-Yu
胡桂華
Hu, Kuei-Hwa關鍵詞 訊息交易
有訊息投資人
沒有訊息投資人
informed trade
informed trader
uninformed trader日期 2001 上傳時間 18-Apr-2016 16:23:58 (UTC+8) 摘要 根據Easley, Kiefer, O’Hara and Paperman (1996)所發展的模型，我們可以對台灣證券交易所上市的股票進行訊息交易的研究。我們的結果顯示，交易越活絡的股票含有訊息交易的機率越低；而這與Easley, Kiefer, O’Hara and Paperman的研究結果一致；換句話說，紐約證券交易所與台灣證券交易所的股票對於訊息交易都有類似的特性。因此，根據研究結果，沒有訊息的投資人應該多去交易較活絡或交易量較大的股票，因為這些股票含有訊息交易的機率較低。
Following the empirical model developed by Easley, Kiefer, O’Hara and Paperman (1996), we have investigated the information content of the stocks on the TSEC. Our result reveals that more liquid stocks have the lower risk of informed trade than do less liquid stocks and this is basically consistent with the finding of Easley, Kiefer, O’Hara and Paperman. Stocks on the NYSE and the TSEC have similar characteristics of informed trade. Therefore, for uninformed traders, it is better for them to trade stocks which are more liquid and have higher trading volume.參考文獻 Admati, A.R. and P., Pfleiderer, 1988, A Theory of Intraday Patterns: Volume and Price Variability, Review of Financial Studies 1, 3-40. Bagehot, W., 1971, The Only Game in Town, Financial Analysts Journal, March-April, 12-22. Easley, D., Kiefer, N., O’Hara, M., and Paperman, J.B., 1996, Liquidity, Information and Infrequently Traded Stocks, Journal of Finance 51, 1405-1436. Easley, D., Kiefer, N., and O’Hara, M., 1997, The Information Content of the Trading Process, Journal of Empirical Finance 4, 159-186. Easley, D., Kiefer, N., and O’Hara, M., 1997, One Day in the Life of a Very Common stock, Review of Financial Studies 10, 805-835. Easley, D., Hvidkjaer, S., and O’Hara, M., 2000, Is Information Risk a Determinant of Asset Returns?, Working Paper, Cornell University. Kyle, A.S., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335. Lee, C., and M., Ready, 1991, Inferring Trade Direction from Intraday Data, Journal of Finance 46, 733-746. Stoll, H.R., 1992, Principles of Trading Market Structure, Journal of Financial Services Research 6, 75-107. S., Hu and C., Chan, 2000, Trade Direction in Order-Driven Markets-Definition, Inference, and Evidence, Working Paper, Social Science Research Network Electronic Paper Collection：http://papers.ssrn.com/paper.taf?abstract_id=250704. Y., Lee, J., Lin, and Y., Liu, 1999, Trading Patterns of Big versus Small Players in an Emerging Market：An Empirical Analysis, Journal of Banking and Finance 23, 701-725. 描述 碩士
國立政治大學
國際經營與貿易學系
88351019資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001501 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 胡桂華 zh_TW dc.contributor.author (Authors) Hu, Kuei-Hwa en_US dc.creator (作者) 胡桂華 zh_TW dc.creator (作者) Hu, Kuei-Hwa en_US dc.date (日期) 2001 en_US dc.date.accessioned 18-Apr-2016 16:23:58 (UTC+8) - dc.date.available 18-Apr-2016 16:23:58 (UTC+8) - dc.date.issued (上傳時間) 18-Apr-2016 16:23:58 (UTC+8) - dc.identifier (Other Identifiers) A2002001501 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85289 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 88351019 zh_TW dc.description.abstract (摘要) 根據Easley, Kiefer, O’Hara and Paperman (1996)所發展的模型，我們可以對台灣證券交易所上市的股票進行訊息交易的研究。我們的結果顯示，交易越活絡的股票含有訊息交易的機率越低；而這與Easley, Kiefer, O’Hara and Paperman的研究結果一致；換句話說，紐約證券交易所與台灣證券交易所的股票對於訊息交易都有類似的特性。因此，根據研究結果，沒有訊息的投資人應該多去交易較活絡或交易量較大的股票，因為這些股票含有訊息交易的機率較低。 zh_TW dc.description.abstract (摘要) Following the empirical model developed by Easley, Kiefer, O’Hara and Paperman (1996), we have investigated the information content of the stocks on the TSEC. Our result reveals that more liquid stocks have the lower risk of informed trade than do less liquid stocks and this is basically consistent with the finding of Easley, Kiefer, O’Hara and Paperman. Stocks on the NYSE and the TSEC have similar characteristics of informed trade. Therefore, for uninformed traders, it is better for them to trade stocks which are more liquid and have higher trading volume. en_US dc.description.tableofcontents 封面頁 證明書 致謝詞 論文摘要 Ⅰ. Introduction Ⅱ. The Model A. Trade Process B. Trades and Prices C. The Likelihood Function Ⅲ. The Data A.Sample Selection B. Trade Data Ⅳ. Estimation A.Parameter Estimates B.The Probability of Informed Trade Ⅴ. Conclusion Reference Table Table 1 Table 2 Table 3 Table 4 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001501 en_US dc.subject (關鍵詞) 訊息交易 zh_TW dc.subject (關鍵詞) 有訊息投資人 zh_TW dc.subject (關鍵詞) 沒有訊息投資人 zh_TW dc.subject (關鍵詞) informed trade en_US dc.subject (關鍵詞) informed trader en_US dc.subject (關鍵詞) uninformed trader en_US dc.title (題名) 台灣股票市場訊息交易之研究 zh_TW dc.title (題名) Informed Trading on the Taiwan Stock Exchange en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Admati, A.R. and P., Pfleiderer, 1988, A Theory of Intraday Patterns: Volume and Price Variability, Review of Financial Studies 1, 3-40. Bagehot, W., 1971, The Only Game in Town, Financial Analysts Journal, March-April, 12-22. Easley, D., Kiefer, N., O’Hara, M., and Paperman, J.B., 1996, Liquidity, Information and Infrequently Traded Stocks, Journal of Finance 51, 1405-1436. Easley, D., Kiefer, N., and O’Hara, M., 1997, The Information Content of the Trading Process, Journal of Empirical Finance 4, 159-186. Easley, D., Kiefer, N., and O’Hara, M., 1997, One Day in the Life of a Very Common stock, Review of Financial Studies 10, 805-835. Easley, D., Hvidkjaer, S., and O’Hara, M., 2000, Is Information Risk a Determinant of Asset Returns?, Working Paper, Cornell University. Kyle, A.S., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1335. Lee, C., and M., Ready, 1991, Inferring Trade Direction from Intraday Data, Journal of Finance 46, 733-746. Stoll, H.R., 1992, Principles of Trading Market Structure, Journal of Financial Services Research 6, 75-107. S., Hu and C., Chan, 2000, Trade Direction in Order-Driven Markets-Definition, Inference, and Evidence, Working Paper, Social Science Research Network Electronic Paper Collection：http://papers.ssrn.com/paper.taf?abstract_id=250704. Y., Lee, J., Lin, and Y., Liu, 1999, Trading Patterns of Big versus Small Players in an Emerging Market：An Empirical Analysis, Journal of Banking and Finance 23, 701-725. zh_TW
