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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12476


    Title: An Empirical Study on Informed Trading on the Taiwan Stock Exchange
    Authors: 郭維裕;胡桂華
    Kuo, Weiyu;Hu, Kuihwa
    Keywords: Market Microstructure;Sequential Trading Model;Information Trading
    Date: 2003-01
    Issue Date: 2008-12-03 13:52:53 (UTC+8)
    Abstract: Following the sequential trading model developed by Easley, Kiefer, O’Hara and Paperman (1996), we examine the information content of stock trading on the TSEC. Our result reveals that more liquid stocks have lower risk of informed trading than less liquid stocks, which is basically consistent with the finding of Easley, Kiefer, O’Hara and Paperman. This result implies that stocks on the NYSE and the TSEC have similar characteristics of information-based trading even though the trading mechanisms in these two stock markets are different. According to what we have found, we suggest uninformed traders on the TSEC trade more liquid or higher trading volume stocks in order to avoid the cost of adverse selection induced by the informed trading.
    Relation: 證券市場發展季刊, 14(4), 39-73
    Data Type: article
    Appears in Collections:[Department of International Business] Periodical Articles

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