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博碩士論文 etd-0125110-160100 詳細資訊
Title page for etd-0125110-160100
論文名稱
Title
委託單驅動市場下的資訊交易機率模型於投資策略下之應用
The application of PIN model under order-driven market on investing strategy
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
51
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-08-31
繳交日期
Date of Submission
2010-01-25
關鍵字
Keywords
跳躍擴散模型、投資組合策略、資訊交易機率
Jump diffusion model, portfolio investing strategy, Probability of Informed-Trading, PIN
統計
Statistics
本論文已被瀏覽 5928 次,被下載 1683
The thesis/dissertation has been browsed 5928 times, has been downloaded 1683 times.
中文摘要
這篇論文的目的是為了探討交易中的資訊內含,確認資訊交易機率與資產報酬之間的關係並且試圖建立一個以非資訊交易者觀點根據資訊交易機率(PIN)建立的投資策略。本文根據了D. Easley et al (1997)年的架構,結合了Merton (1976)跳躍擴散模型發展了一個在委託單驅動市場下的交易決策模型以估計資訊交易機率。根據台灣證券交易所2003年間的日內資料,本文發現資訊交易機率與資產報酬的確存在顯著的正相關,而根據資訊交易機率所建構的投資組合能夠賺取顯著的正報酬,無論目前市場的情況處於熊市或者是牛市。這篇論文的結果支持了資訊不對稱風險可以被規避的可行性。
Abstract
The purpose of this paper is to explore the information content in a trading, confirm the relationship between information-trading probability (PIN) and asset returns, and apply PIN to construct an investing strategy on a point of uninformed trader’s view. I develop a decision marking model about trading decision between under order-driven market which is combined on the decision tree of the concept of D. Easley et al. (1997) and Merton (1976) jump diffusion model for modifying the PIN model to apply to order-driven market. As a result, the daily PIN were positive relatively with return, and the investing strategy which was based my model could make profit significantly in the sample period at TWSE in 2003, this investing strategy can earn profit in down and up market condition both. This result supports that hedging against information asymmetric risk is potential.
目次 Table of Contents
Section Page
Acknowledge (Chinese version) 1
Abstract (English version) 2
Abstract (Chinese version) 3
I. Introduction 6
II. The trade model of the PIN under order-driven market 9
1. Traditional model about probability of informed-trading 9
2. The model 12
3. The estimating method of this model 14
III The sample 17
IV The PIN-based Portfolio strategy 22
1. The relationship between PIN and stock return 22
2. Is PIN-based Portfolio strategy profitable? 24
3. The source of PIN-based portfolio revenue 27
4. Returns of PIN-based portfolios in sample period. 29
5. The beta of information asymmetric factor 33
V Conclusion 36
References 39
Appendix 41
1. Using Newton-Raphson method s solve the maximum likelihood estimator of parameter of trading model under order-driven market 41
2. Companies which are included in the sample 46
參考文獻 References
References
Chinese references:
康怡禎,以跳躍大小與狀態相關之馬可夫跳躍擴散模型分析財務時間數列之研究,Markov Jump Diffusion Models with State-Dependent Jump Sizes for Financial Time Series,國立東華大學應用數學研究所未出版碩士論文,2007。
洪榮耀,資訊交易機率模型及其應用,國立中山大學財務管理研究所未出版博士論文,2005。
English references:
Aktas, N., de Bodt, E., Declerck, F., 2002. Is there information leakage around business combinations on the French markets? European Financial Management Association 2002 Conference, London.
Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial economics 17, 223-249.
Ball, V. A., and Torous, W. N. (1985). On jumps in common stock prices and their impact on call option pricing. Journal of Finance. 40, 155-173.
Carhart, M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57–82.
David Easley and Maureen O’Hara, 1987.Price, Trade Size, and Information In Secur- ities Markets. Journal of financial economics 19(1987) 69-90
David Easley, Nicholas M. Kiefer and Maureen O’Hara,1997. The information content of the trading process. Journal of empirical finance 4 , (1997) ,159-186
David Easley, Soeren Hvidkjaer and Maureen O’Hara, 2002.Is information Risk a Determinant of Asset Returns? The journal of finance Vol. LVII, Issue 5, (2002), October, 2185-2221
David Easley and Maureen O’Hara,2004. Information and the Cost of Capital. The journal of finance Vol LIX, Issue 4, (2004) August, 1553-1583
Fama, E., French, K.R., 1992. The cross-section of expected stock returns. Journal of Finance 47, 427–465.
Fama, E., French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3–53.
Harry M. Markowitz, 1959, Portfolio selection: Efficient diversification of investments. New York. John Wiley &Sons, Inc. London. Chapman &Hall, Ltd.
Jefferson Duarte and Lance Young, 2009. Why is PIN priced? Journal of financial economics 91 (2009) 119-138
Jonathan Macey and Maureen O’Hara, 2005. From Order to Markets: Who should decide what is “best execution”? Securities& investment (2005) Summer, 62-70
Nihat Aktas, Eric de Bodt, Fany Declerck and Herve Van Oppens. The PIN anomaly around M&A announcements. 2007, Journal of financial markets 10 (2007) 169-191
Puneet Handa and Robert A. Schwartz, 1996a. Dynamic Price Discovery
Puneet Handa and Robert A. Schwartz, 1996b. Limit Order Trading. The journal of finance Vol LI, Issue. 5, (1996), December, 1835-1861
Qin Lei and Guojun Wu, Time-varying informed and uninformed trading activities. Journal of Financial Markets 8 (2005) 153–181
Robert C. Merton, 1976. Option Pricing When Underlying Stock returns are discontinuous. Journal of financial Economics 3, (1976) 125-144
Stan Beckers, 1981. A note on estimating the parameters of the diffusion-jump model of stock returns. Journal of financial and quantitative analysis (1981) volume XVI, No. 1,
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