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中文論文名稱 資訊交易對股票報酬預測性之影響
英文論文名稱 The influence of Informed Trading on Return Forecast.
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 陳賢美
研究生英文姓名 Hsien-Mei Chen
學號 697530532
學位類別 碩士
語文別 中文
口試日期 2010-05-14
論文頁數 72頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-胡勝正
委員-林象山
委員-孫效孔
中文關鍵字 資訊交易  雜訊  價格時距  報酬率 
英文關鍵字 informed trade  noise  duration  return 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 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

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