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博碩士論文 etd-0720100-140353 詳細資訊
Title page for etd-0720100-140353
論文名稱
Title
資訊交易機率對股市績效的影響
The Correlation Between Probability Of Informed Trader And Market Performance
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
95
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
2000-06-26
繳交日期
Date of Submission
2000-07-20
關鍵字
Keywords
市場績效、資訊交易機率、資訊不對稱
Market Performance, information asymmetry, Probability of Informed Trader
統計
Statistics
本論文已被瀏覽 5675 次,被下載 1929
The thesis/dissertation has been browsed 5675 times, has been downloaded 1929 times.
中文摘要
就本質而言,資訊是決定股價的唯一因素,不論何者類型的投資者皆是依據其本身握有的資訊,決定是否進場交易。由於市場交易者彼此間的資訊並不對等,因而擁有較多資訊的交易者,便可以有較高的獲利能力,此亦一般所謂的資訊不對稱。雖然市場普遍存在資訊不對稱情形,然而如何衡量不對稱程度則一直是一大問題。此外,由資訊不對稱對股市有重大的影響力,
本研究衡量資訊不對稱程度的代理變數,是以資訊交易佔全部交易的機率(亦即資訊交易機率),由於市場可觀察到的資料大致可分為價及量的資料型態,因此本研究以選擇權觀點、買賣價觀點利用價資料估計資訊交易機率,而以聯立方程式觀點,利用量資料估計資訊交易機率。根據實證結果發現聯立方程式解並不合理,其主要因素可能來自於量資料不穩定的結果。
利用本研究所估計得到的資訊交易機率,本研究進一步研究資訊交易機率對市場績效的影響,本研究所謂的市場績效指流動性、波動性及效率性。鑑於資訊交易機率和市場績效變數間的相關係,本研究不採用一般複迴歸方法,而改用聯立模型迴歸法,並利用三階段最小平方法估計各參數。
根據本研究實證迴歸結果發現,資訊交易機率對市場績效確實有顯著影響,其中波動性和效率性皆和資訊交易機率為正相關,而流動性則恰好相反。
Abstract
none
目次 Table of Contents
章節目錄 1
圖表目錄 4
第1章 緒論 5
第1節 研究動機 5
第2節 研究目的 8
第3節 研究架構 9
第2章 文獻回顧 11
第1節 資訊交易 11
第2節 資訊交易機率模型 14
2.2.1 Easley-Kiefer-O'Hara model (1997) 14
2.2.2 Chou-Handa model (1999) 18
2.2.3 Nyholm model (2000) 21
第3節 市場績效衡量指標 24
2.3.1 流動性 24
2.3.2 波動性 25
2.3.3 效率性 27
第4節 資訊交易與市場績效間關係 29
2.4.1 資訊交易機率與流動性 29
2.4.2 資訊交易機率與波動性 31
2.4.3 資訊交易機率與效率性 32
第3章 研究假說 34
第4章 研究方法 37
第1節 資料描述 37
4.1.1 資料來源 37
4.1.2 資料篩選 38
第2節 資訊交易機率衡量 40
4.2.1 市場交易者行為結構 40
4.2.2 估計資訊交易機率 43
第3節 市場績效衡量指標 53
4.3.1 流動性衡量指標 53
4.3.2 波動性衡量指標 55
4.3.3 效率性衡量指標 56
第4節 迴歸模型 57
4.4.1 三階段最小平方法 57
4.4.2 模型架構 60
第5章 實證結果與分析 63
第1節 參數估計結果 63
5.1.1 評估區間事件屬性 63
5.1.2 非資訊交易者下買單的機率 65
5.1.3 非資訊交易者交易的機率 67
第2節 資訊交易機率的估計 69
5.2.1 選擇權估計法 69
5.2.2 買賣價估計法 72
5.2.3 聯立方程式估計法 75
5.2.3 聯立方程式估計法 75
第3節 市場績效衡量結果 77
第4節 迴歸結果分析 82
5.4.1 Three-Stage Least Squares檢定結果 82
第6章 結論與建議 88
6.1 結論 88
6.2 建議 90
參考文獻 91

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