資訊不對稱對股市有重大的影響力，本研究主要以 2005 到 2006 年台灣股票交易市場為樣本，根據 Easley et al. (1996)提出之資訊交易機率(PIN)理論模型與 Hu (2006)簡單估計雜訊之模型作為衡量資訊交易之指標，探討投資人日內資訊交易與股票報酬、價格變動時間與交易量之關係，觀察交易變數間之交互影響關係，進而剖析台灣股票市場投資人日內之交易行為。
    本研究實證結果發現，在資訊交易機率越多之股票投資組合中，股票價格變動較緩慢，交易情況也較不活躍，與最小 50 雜訊值之投資組合結果相同。而在資訊交易較多的股票中，可利用當期股票報酬與交易量來預測未來之股票報酬；而在資訊交易較少之股票中，交易變數與股票報酬則較無顯著相關。另外，資訊交易機率較大的股票投資組合，當市場上出現一資訊變動時，其變數收斂
較快速，完全反應至交易變數上的時間會較短。

Information asymmetry has a great influence on the stock market. The main purpose of this study is to investigate the relationship between intraday informed
trading and trading variables such as stock return, duration and volume. Based on the data from the Taiwan stock market in 2005 and 2006, followed the probability of
information-based trading (PIN) model by Easley et al.(1996) and the measurement of noise by Hu(2006) to estimate the informed trading. We then observe the
correlation between trading variables and the analysis of the intraday investor behavior.
    The finding of this paper suggests that the greater PIN stock portfolio, slows down the volatility of stock price, and lowers the trade volume. The result matches
to the investment portfolio of 50 stocks with the lowest noise. Moreover, for the more informed trading stock, the future return can be projected from the current return and trade volume of the stock, which is not possible with less informed trading stock. Additionally, the more informed traded stocks converge more rapidly to their long-run equilibrium after an initial perturbation.

目錄
中文摘要………………………………………………………………………I
英文摘要………………………………………………………………II
目錄……………………………………………………………………III
圖表目錄………………………………………………………………V
第壹章 緒論
第一節 研究背景與動機………………………………………………………………………1
第二節 研究目的………………………………………………………………………4
第三節 研究架構………………………………………………………………………7
第貳章 文獻探討
第一節 資訊交易………………………………………………………………………9
第二節 資訊交易與資產報酬相關研究……………………………13
第三節 資訊交易與價格變動相關研究……………………………15
第四節 資訊交易與交易量相關研究………………………………16
第五節 市場投資人交易行為相關研究……………………………18
第參章 研究方法
第一節 研究資料……………………………………………………22
第二節 研究期間與樣本選取之標準………………………………25
第三節 變數衡量方法………………………………………………27
第四節 迴歸模型……………………………………………………39
第五節 向量自我相關模型…………………………………………41
第肆章 研究成果與分析
第一節 樣本敘述統計………………………………………………43
第二節 迴歸模型結果與分析………………………………………47
第三節 向量自我相關迴歸模型結果與分析………………………51
第四節 衝擊反應函數………………………………………………55
第伍章 結論與建議
第一節 研究結論……………………………………………………59
第二節 後續研究之建議……………………………………………61
參考文獻…………………………………………………………….63
附錄………………………………………………………………….69

圖表目錄
【圖 1-1】研究架構流程圖…………………………………………8
【表 3-1】委託檔資料格式…………………………………………24
【表 3-2】委託檔資料格式…………………………………………24
【圖 3-1】Easley et al.(1996)之交易過程之樹狀圖………….35
【表 4-1】各PIN 族群之變數敘述統計……………………………46
【表 4-2】最大與最小雜訊投資組合之變數敘述統計……………46
【表 4-3】迴歸模型分析……………………………………………49
【表 4-4】VAR 模型…………………………………………………53
【圖 4-1】衝擊反應函數圖…………………………………………57
【表 4-5】衝擊反應時間……………………………………………58

參考文獻
1.王甡(1995)，「報酬衝擊對條件波動所造成之不對稱效果—台灣股票市場之實證分析」，《證券市場發展季刊》，7(1)，125-161。
2.王凱立與陳美玲(2002)，「美國和台灣股票期貨市場之動態關聯：一般化多變量GARCH模型的應用」，《經濟論文》，30(4)，363-408。
3.劉曦敏與葛豐瑞(1996)，「臺灣股價指數報酬率之線性及非線性變動」，《經濟研究》，34，73-109。
4.Admati, A., and P. Pfleiderer, 1988, “Market for Information: Selling and Trading on Information in Financial Markets”, American Economic Review 78(2), 96-103.
5.Admati, A., and P. Pfleiderer, 1989, “Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects”, Review of Financial Studies 2, 189-223.
6.Albuquerque R., G.H. Bauer, and M. Schneider, 2009., “Global private information in international equity markets ” ,Journal of Financial Economics 94(1),18-46.
7.Amihud, Y., and H. Mendelson, 1986, “Asset Pricing and the Bid-Ask Spread”, Journal of Financial Economics 17(2), 223-249.
8.Back, K., C. H. Cao, and G. A. Willard, 2000, “Imperfect Competition among Informed Traders”, Journal of Finance 55(5), 2117-2155.
9.Bagehot,W.,1971, “The only game in town”, Financial Analysts Journal 27, 12–14.
10.Benston, G. J., and R.L. Hagerman, 1974, “Determinants of bid-asked spreads in the over-the-counter market”, Journal of Financial Economics 1, 353-364.
11.Chan,K., A. J. Menkveld , and Z. Yang, 2008, “Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount”, The Journal of Finance 63(1),159-196.
12.Chen, Q., I. Goldstein, and W. Jiang, 2007, “Price Informativeness and Investment Sensitivity to Stock Price” , Review of Financial Studies 20(3),619-650.
13.Chiang, R., and P. C. Venkatesh, 1988, “Insider holdings and perceptions of information asymmetry: A note”, The Journal of Finance 43, 1041-1048.
14.Copeland T.E.,and D. Galai, 1983, “Information Effects on the Bid-Ask Spread”, The Journal of Finance 38(5),1457-1469
15.De Long, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, 1990a, “Positive Feedback Investment Strategies and Destabilizing Rational Speculation”, The Journal of Finance 45, 379-395.
16.De Long, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, 1990b, “The Survival of Noise Traders in Financial Markets”, Journal of Business 64, 1-19.
17.Dufour, A., and R.F. Engle, 2000, “Time and price impact of a trade”,The Journal of Finance 55, 2467–2498.
18.Easley ,D., and M. O’Hara, 1987, “Price, Trade size ,and Information in Securities Markets”, Journal of Financial Economics 19,69-90.
19.Easley, D., N. M. Kiefer , and M. O’Hara, 1997, “The Information Content of the Trading Process”, Journal of Empirical Finance 4(2-3), 159-186.
20.Easley, D. , and M. O’Hara, 2000, “Information and the Cost of Capital”, Working Paper, SSRN.
21.Easley D., N.M. Kiefer, M. O’Hara, and J.B. Paperman, 1996, “Liquidity , Information, and Infrequently Traded Stocks”, The Journal of Finance 51(4),1405-1436.
22.Easley D., N.M. Kiefer, M. O’Hara, and J.B. Paperman, 1997, “The information content of the trading process”, Journal of Empirical Finance 51(4),159-186.
23.Easley D., S. Hvidkjaer, and M. O’Hara, 2002 , “Is Information Risk a Determinant of Asset Returns ? ”, The Journal of Finance 57(5),2185-2221.
24.Easley D., S. Hvidkjaer, and M .O’Hara, 2005 , “Factoring Information into Returns”, Journal of Financial and Quantitative Analysis (forthcoming).
25.Engle,R.F., D.M. Lilien, and R.P. Robins,1987, “Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model”, Econimetrica 2,391-407.
26.Hamelink, F.,1998, “On the Specification of Duration Between Price Changes and the Predictability of Frequency Return: An Application to the French CAC40”, Finance 19,139-163.
27.Foster, F.D.,and S. Viswanathan, 1990, “A theoryof the interdayvariations in volume, variance, and trading costs in securities markets”,Review of Financial Studies 3 (4), 593–624.
28.Foster, F.D.,and S.Viswanathan, 1993, “Variations in trading volume, return volatility, and trading costs: evidence on recent price formation models”, The Journal of Finance 48 (1), 187–211.
29.Foster, F. D., and S.Viswanathan, 1994, “Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information”, Journal of Financial and Quantitative Analysis 29(4), 499-518.
30.Foster, F. D., and S.Viswanathan, 1996, “Strategic Trading When Agents Forecast the Forecasts of Others”, Journal of Finance 51(4), 1437-1478.
31.French, K. R. and R. Roll, 1986, “Stock Return Variances: The Arrival of Information and the Reaction of Traders”, Journal of Financial Economics 17(1),5-26.
32.Gagnon, L.,and G.A. Karolyi, 2009, “Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks”, Journal of Financial and Quantitative Analysis 44,953-986.
33.Glosten L. R., and L. Harris, 1988, “Estimating the Components of the Bid/Ask Spread”, Journal of Financial Economics 21(1), 123-124.
34.Handa, P., R. Schwartz, and A. Tiwari, 2003, “Quote Setting and Price Formation in an Order Driven Market”, Journal of Financial Markets 6(4), 461-489.
35.Harris, L., 1986, “Cross-Security Tests of the Mixture of Distributions Hypothesis”, Journal of Financial and Quantitative Analysis 21, 39-46.
36.Hasbrouck,J.,1988, “Trades, Quotes, inventories , and information”, Journal of Financial Economics 22(2),229-252.
37.Hasbrouck,J.,1991, “The Summary Informativeness of Stock Trades: An Econometric Analysis”, Review of Financial Studies 4(3);571-595
38.Hasbrouck, J., 1991a, “Measuring the Information Content of Stock Trades”, Journal of Finance 46(1), 179-207.
39.Hasbrouck, J., 1991b, “The Summary of Stock Trades: An Econometric Analysis”, Journal of Financial Studies 46(3), 571-595.
40.Holden,C.W., and A. Subrahmanyam , 1992, “Long-Lived Private Information and Imperfect Competition”, The Journal of Finance 47(1),247-270
41.Hu S.Y., 2006, “A simple estimate of noise and its determinant in a call auction market”, International Review of Financial Analysis 15,48-362.
42.Jaffe,J.F., and R.L. Winkler ,1976, “Optimal Speculation Against Efficient Market”, The Journal of Finance 31(1),49-61.
43.Karpoff, J. M., 1987, “The Relation between Price Changes and Trading Volume:A Survey”, Journal of Financial and Quantitative Analysis 22, 109-126.
44.Koski,J.L., and R. Michaely, 2000, “Price,Liquidity and the Information Content of Trades”, Review of Financial Studies 13 (3), 659-96.
45.Kyle, A.S., 1985, “Continuous auctions and insider trading”, Econometrica 53, 1315–1336.
46.Lin, J., G. Sanger, and G. Booth, 1995, “Trade Size and Components of the Bid-Ask Spread”, Review of Financial Studies 8,1153-1183.
47.Lin,W.T, S.C. Tsai, and D.S. Sun, 2010,“What Case Herding: Information Cascade or Search Cost?”, Working paper, Tamkang University..
48.Manganelli S., 2005 , “Duration, volume and volatility impact of trades”, Journal of Financial Markets 8,377-399.
49.Mclnish, T., and R. Wood, 1992, “An analysis of intraday patterns in bid/ask spreads for NYSE stocks”, The Journal of Finance 47, 753-64.
50.Nyholm, K., 2003, “Inferring the Private Information Content of Trades: A Regime-Switching Approach”, Journal of Applied Econometrics 18(4),457-470.
51.Stoll, H.R., 1978, “The Supply of Dealer Services in Securities Markets”, The Journal of Finance 33(4),1133-1151.
52.Stoll, H.R., 1989, “Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests”, The Journal of Finance 44(1),115-134.
53.Suominen, M., 2001,“Trading volume and information revelation in stock markets”, Journal of Financial and Quantitative Analysis 36, 545-565.
54.Wang, J., 1993, “A Model of Intertemporal Asset Prices Under Asymmetric Information”, Review of Economics Studies 60, 249-282.
55.Wong, W.K., D. Tan, and Y. Tian, 2009, “Informed Trading and Liquidity in the Shanghai Stock Exchange” , International Review of Financial Analysis 18,66-73. 
56.Yan, Y., and S. Zhang, 2006, “An Improved Estimation Method and Empirical Properties of PIN” , Working paper, Nanyang Technological University.

57. Wong, W.K., D. Tan, and Y. Tian, 2009, ―Informed Trading and Liquidity in the Shanghai Stock Exchange‖ , International Review of Financial Analysis 18,66-73.
58. Yan, Y., and S. Zhang, 2006, ―An Improved Estimation Method and Empirical Properties of PIN‖ , Working paper, Nanyang Technological University.
59. Ying, C. C., 1966, ―Stock Market Prices and Volumes of Sales‖, Econometrica 34, 676-686.