本文首先採用Easley, Kiefer, O’Hara and Paperman (1996)的模型，對台灣股票市場的股票進行全面性的資訊交易機率估計。本文發現資訊交易機率與個股的成交量成反比，亦即交易越活絡的股票，投資人所面對的資訊不對稱的情況越少。故投資人若要減少面臨資訊不對稱的情形，宜儘量交易成交量大的股票。
再者本文亦以Easley, Hvidkjaer, and O’Hara (2002)的研究為藍本，進行資訊交易機率、市場投資組合風險、規模與淨值市價比與股票報酬率關連性的實證研究。本研究發現在此研究期間中，台灣股票市場的股票報酬率會受到市場投資組合風險以及規模的影響，資訊交易機率與淨值市價比則對股票報酬率沒有影響。
本研究無法指出資訊交易機率與股票報酬率有關係。至於資訊交易機率在台灣股市沒有作用的原因，筆者以為可能與台灣股市以散戶為主的結構有關，而散戶對於交易中的資訊不對稱的警覺性不足所致。

Following the model developed by Easley, Kiefer, O’Hara and Paperman (1996), I estimated the probability of informed trading (PI) in the TSEC. The result in my study is that the probability of informed trading is highly related with the trading volume of each stock. More active stocks will have lower probability of informed trading, so investors trading with active stocks will face less information asymmetry.
Feather more, my research followed the study of Easley, Hvidkjaer, and O’Hara (2002), who used the Fama-French asset pricing model(1992) discussing the relationship among stock return, portfolioed market risk, size and BE/ME ratio. The result in my study is that the stock return in TSEC is affected by portfolioed market risk and size, but PI and BE/ME ratio have no effect to stock return. The result is different from the study of Easley, Hvidkjaer, and O’Hara (2002). The reason could be that most investors in TSEC are individuals who lack the awareness about information asymmetry.

目錄

第一章 緒論……………………………………………………………………1

第一節 研究背景與動機………………………………………………………1
第二節 研究目的………………………………………………………………5
第三節 論文架構與研究流程…………………………………………………6

第二章 文獻探討………………………………………………………………7

第一節 資訊交易、資訊交易者與資訊交易機率……………………………7
第二節 資產定價與三因子模型………………………………………………18
第三節 資訊交易與資產定價…………………………………………………23

第三章 研究方法………………………………………………………………24

第一節 資訊交易機率的衡量與比較…………………………………………24
第二節 資訊交易機率與資產定價……………………………………………28

第四章 實證結果分析…………………………………………………………32

第一節 資訊交易機率的估計…………………………………………………32
第二節 資訊交易機率與相關因素分析………………………………………37
第三節 資訊交易機率與股票報酬……………………………………………43

第五章 結論與建議……………………………………………………………47

第一節 研究結論………………………………………………………………43
第二節 後續研究建議…………………………………………………………49

參考文獻……………………………………………………………………………51

附錄…………………………………………………………………………………56

表目錄

【表4-1】資訊交易機率參數的敘述統計……………………………………32
【表4-2】資訊交易機率分組敘述統計表……………………………………33
【表4-3】資訊事件發生機率α分組敘述統計表…………………………….33
【表4-4】資訊事件為壞消息機率δ分組敘述統計表……………………….34
【表4-5】非資訊交易者到達率ε分組敘述統計表………………………….35
【表4-6】非資訊交易者到達率ε分組敘述統計表………………………….36
【表4-7】以成交量分組之Kruskal-Wallis 檢定表……………………….37
【表4-8】分組PI之Mann-Whitney Wilcoxon檢定表……………………….38
【表4-9】分組α之Mann-Whitney Wilcoxon檢定表………………………..38
【表4-10】分組δ之Mann-Whitney Wilcoxon……………………………….39
【表4-11】分組ε之Mann-Whitney Wilcoxon檢定表……………………….40
【表4-12】分組μ之Mann-Whitney Wilcoxon檢定表……………………….40
【表4-13】各產業資訊交易機率及參數敘述統計表……………………….42
【表4-14】產業面因素的Kruskal-Wallis 檢定表…………………………42
【表4-15】模型變數敘述統計表…………………………………………….43
【表4-16】樣本各變數間相關係數表……………………………………….43
【表4-17】模型迴歸分析係數表…………………………………………….44
【表附-1】台灣股市個股資訊交易機率參數表…………………………….56




圖目錄

【圖 1-1】研究流程圖………….……………………………………………..6
【圖2-1】資訊交易樹狀圖……………………………………………………..10
【圖4-1】資訊交易機率分佈圖………………………………………………..33
【圖4-2】資訊事件發生機率α分佈圖………………………………………….33
【圖4-3】資訊事件為壞消息機率δ分佈圖…………………………………….34
【圖4-4】非資訊交易者到達率ε分佈圖……………………………………….35
【圖4-5】非資訊交易者到達率ε分佈圖……………………………………….36
【圖4-6】資訊交易機率以及參數α、δ產業分佈圖……………………………41
【圖4-7】資訊交易機率以及參數ε、μ產業分佈圖……………………………41

參考文獻

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余招賢，1997，台灣股票市場風險、規模、淨值/市價比、成交量週轉率與報酬之關係，國立交通大學管理科學研究所碩士論文，
黃仁甫、劉玉珍，1995，「台灣股市交易資訊不對稱之實證研究」，中國財務學刊，第三卷第一期，頁九十五~一一七。
陳榮昌，2002，台灣股票報酬之結構分析，國立中山大學財務管理研究所碩士論文
陳鄔福，1979，資本資產訂價模式應用於台灣股票市場之研究，國立政治大學企業管理研究所碩士論文
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