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博碩士論文 etd-0523116-152204 詳細資訊
Title page for etd-0523116-152204
論文名稱
Title
市場價格內生性和資訊不對稱之關係
The Relationship between Stock Price Endogeneity and Information Asymmetry
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
57
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
2016-06-22
繳交日期
Date of Submission
2016-06-23
關鍵字
Keywords
交易網絡、條件普瓦松分配、資訊不對稱、從眾行為
Trading networks, Hawkes process, Information asymmetry, Herding
統計
Statistics
本論文已被瀏覽 5872 次,被下載 457
The thesis/dissertation has been browsed 5872 times, has been downloaded 457 times.
中文摘要
本研究使用Epidemic-Type Aftershock Sequence Model (ETAS)來衡量從眾行為,其模型可以捕捉價格變動中來自於內生性的部分,也就是追漲殺跌的部分。此外,本研究也提出一種新的衡量資訊不對稱的方法,此方法為使用社群網絡分析去計算每一個交易網絡的特徵向量中心性,再去計算其特徵向量中心性的變異係數,即可衡量投資人所擁有的資訊分散程度。再利用迴歸分析探討50支股票其在2007到2010之間的從眾行為和資訊不對稱之關係,最後以向量自我迴歸模型探討從眾行為與市場效率性、流動性和波動性之相互關係。
本研究結果發現在資訊不對稱較高的情況下,從眾行為會有減少的趨勢,本研究推論在資訊不對稱下,沒有資訊的投資人不願意進入市場,因此導致流動性下降,最後從眾行為減少。本研究也發現從眾行為不會影響市場品質如效率性、流動性和波動性,但在不同市值大小以及不同期間下,從眾行為對市場品質有不同的影響。
Abstract
In this study we quantify herding behavior by using the Epidemic-Type Aftershock Sequence Model (ETAS), which can capture how much of price changes is due to endogenous feedback processes. Also, we introduce a new measure of information asymmetry. For this, we use social network analysis to calculate the eigenvector centrality of trading networks. By calculating the coefficient of variation ratio of eigenvector centrality, we can quantify the dispersion of investors’ information from its mean. We then examine the relation between herding and information asymmetry in 50 stocks during 2007-2010. Next, we examine the relation between the herding and market quality. We find evidence of less herding behavior during high information asymmetry. This result suggests that high information asymmetry may lead investors who do not have information to be reluctant to enter the market and cause liquidity to decrease, reducing herding behavior. Furthermore, we find that herding does not have effects on market quality in the whole sample, but different market values and periods have distinct results.
目次 Table of Contents
CONTENTS
論文審定書 i
摘要 ii
ABSTRACT iii
I. INTRODUCTION 1
1.1 Background Information 1
1.2 Research Purpose 5
1.3 Research Structure 6
1.4 Research Contribution 7
II. LITERATURE REVIEW 8
2.1 Epidemic-Type Aftershock Sequence Model (ETAS) 8
2.2 Herding Behavior 10
2.2.1 Herding measurement 11
2.3 Information Asymmetry 13
2.3 Herding and Information Asymmetry 16
III. METHODOLOGY 17
3.1 Data description 17
3.2 Herding 18
3.3 Information Asymmetry 20
3.4 Regressions and Variables 22
IV. EMPIRICAL RESULTS 25
4.1 Descriptive Statistics 25
4.2 Herding and Information Asymmetry 28
4.3 Information Asymmetry and Illiquidity 31
4.4 Herding and Market Quality 33
4.5 Robustness Check 41
V. CONCLUSION 45
REFERENCES 48
Appendix 51
參考文獻 References
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