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系統識別號 U0002-1406200803560400
中文論文名稱 以選擇權理論估計訊息交易機率
英文論文名稱 Measuring the Probability of Informed Trading by Option Approach
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 96
學期 2
出版年 97
研究生中文姓名 江孟穎
研究生英文姓名 Meng-Ying Chiang
學號 695530724
學位類別 碩士
語文別 中文
口試日期 2008-06-06
論文頁數 80頁
口試委員 指導教授-段昌文
委員-洪坤
委員-林月能
委員-林允永
中文關鍵字 逆選擇成本  訊息交易機率  Panel Data模型  選擇權 
英文關鍵字 Adverse selection cost  probability of informed trading  Panel Data model  Options approach 
學科別分類 學科別社會科學商學
中文摘要 本文選取S&P100指數成份股及ETF,觀察2001年1月29日NYSE將報價檔次從分數改為小數報價前後訊息交易機率,並以NASDAQ股票作為對照組,並將成交及報價檔合併使每筆成交皆對應一筆報價,依據 EKOP及選擇權模型估計訊息交易機率,並對日內訊息交易機率的型態作一探討。最後,我們在控制共同變數下,應用Panel Data模型來分析控制變數、訊息代理變數與交易機率間的連結關係。
實證顯示,NYSE將報價檔次改為小數報價後,不論是運用EKOP或選擇權模型,均發現市值大、中及小公司所估計出之訊息交易機率是下降的,顯示縮小報價檔次後對於造市者之逆選擇成本是有所改善的,而ETF之訊息交易機率則是上升的;另外,各類公司於小數報價前後之訊息交易機率均在每日剛開盤時為最高,顯示訊息交易者傾向於開盤時即利用其私有資訊來進場交易。
以Panel Data模型進行實證的結果顯示,小數報價前大公司與小公司之最小量比率以及中公司之中額比率對訊息交易機率的影響皆為正;最後,透過加入虛擬變數發現在縮小報價檔次後確實會改變訊息代理變數與訊息交易機率的關係,除小公司之中額比率外,各類公司均一致顯示最大量比率、最小量比率與中額比率對訊息交易機率的影響程度增加。
英文摘要 The paper attempts to observe the probability of informed trading around the pre-/post- decimal pricing in January 29, 2001 for S&P100 constituent stocks and ETF by Easley, Kiefer, O’Hara, and Paperman (1996) and option approaches, In cross and time sectional analysis, we examine the linkage between from controlling variables, proxy variables of informed trader and the probability of informed trading through the Panel Data model.
Empirical results find that the probability of informed trading is decreasing after decimal pricing on equity sample. It implies that the probability of adverse selection is decreasing on market makers but fails for ETF sample. We also show that informed traders prefer the time between after open of the trading day and midday to the other one about submission order.
The empirical results of the Panel Data model illustrate that the relationship between the informed agency variables of trading volume following small-quantitity of trading day and probabilities of informed trading are positive during pre-decimal pricing to high-/low- size stocks, moreover, the trading volume following medium-quantity of trading day is positive with the probability of informed trading for middle-size stocks.
Finally, the Panel Data model adding dummy variables, we find that the relationship between the informed agency variables and the probability of informed trading would be change after decimalization of NYSE. Furthermore, large, small, and medium quantities have more effect on the probability of informed trading for equity samples except medium quantities on low- market capitalization companies.
論文目次 目錄
中文摘要 I
英文摘要 I I
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 2
第三節 研究內容及架構 3
第二章 文獻探討 5
第一節 NYSE介紹 5
第二節 訊息交易 7
一、訊息交易者與流動性交易者 7
二、買賣價差組成份-逆選擇成本 8
三、訊息交易機率之意涵與資訊不對稱之測度 10
1. 傳統資訊不對稱之測度 10
2. EKOP 之訊息交易機率 11
3. 選擇權方法之逆選擇成本及訊息交易機率 12
第三節 訊息交易機率的日內型態 14
第四節 訊息交易者下單量 15
第五節 逆選擇成本與訊息交易機率於小數報價前後之差異 17
第三章 研究模型 19
第一節 以選擇權估計訊息交易機率模型 19
第二節 EKOP模型 23
第四章 研究方法 29
第一節 樣本 29
一、資料來源 29
二、資料配對 29
1. 對照組之選取 29
2. 報價與成交價之配對 30
第二節 參數估計 30
一、以選擇權模型估計訊息交易機率之研究設計 30
二、EKOP模型參數估計法 32
第三節 Panel Data模型及變數定義 34
一、模型 35
二、檢定 36
三、影響變數 37
第五章 實證結果 40
第一節 研究期間與樣本描述 40
一、樣本期間 40
二、樣本描述 40
第二節 EKOP模型估計訊息交易機率實證結果 43
第三節 選擇權模型估計訊息交易機率實證結果 49
第四節 橫斷面與時間數列交互分析 55
一、模型檢定 56
二、訊息交易機率與影響變數之相關性實證 58
1. 不加入控制變數 58
2. 加入控制變數 59
三、影響變數對訊息交易機率在後期之影響實證結果 61
第六章 結論 67
參考文獻 70
附錄一 NYSE及NASDAQ公司選取樣本 75
附錄二 NYSE各股資料統計 77
附錄三 NASDAQ各股資料統計 79

表目錄
表2.1 訊息交易與交易額之關聯性文獻探討 17
表2.2 探討小數報價前後逆選擇成本與訊息交易機率的變化 18
表5.1.1 NYSE改全面小數報價前後之NYSE統計資料 41
表5.1.2 NYSE改全面小數報價前後之NASDAQ與SPY統計資料 42
表5.2.1 EKOP模型在大公司小數報價前後之母體參數值及PIN值 45
表5.2.2 EKOP模型在中公司小數報價前後之母體參數值及PIN值 46
表5.2.3 EKOP模型在小公司及ETF小數報價前後之母體參數值及PIN 47
表5.2.4 NYSE與NASDAQ小數報價前後PIN之變化 48
表5.3.1 大公司小數報價前後PROB之變化 51
表5.3.2 中公司小數報價前後PROB之變化 52
表5.3.3 小公司及ETF小數報價前後PROB之變化 53
表5.4.1 F檢定與Hausman Test檢定結果 56
表5.4.2 事前事後變數均值 57
表5.4.3 訊息交易機率與影響變數之相關性(沒有加入控制變數) 64
表5.4.4 訊息交易機率與影響變數之相關性(加入控制變數) 65
表5.4.5 小數報價後期之影響增減分析 66

圖目錄
圖一、研究架構圖 4
圖二、以選擇權評估買賣價之圖解 21
圖三、交易過程樹狀圖 24
圖四、不同市值公司日內訊息交易機率變化-選擇權模型 54

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