政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30068
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 115256/146303 (79%)
造访人次 : 54539177      在线人数 : 346
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/30068


    题名: 慣性噪音下的內部人交易
    Inside trading with inertial noise trades
    作者: 胡昌國
    Hu, Chang Kuo
    贡献者: 謝淑貞
    Shieh, Shwu Jane
    胡昌國
    Hu, Chang Kuo
    关键词: 內部人交易
    正向回饋交易
    慣性交易
    資訊價值
    insider trading
    positive feedback trading
    inertial trading
    value of information
    日期: 2007
    上传时间: 2009-09-11 17:09:57 (UTC+8)
    摘要: Abstract

    Based on the sequential auction model of Kyle (1985) and embedded the formulation of positive feedback traders in De Long et al. (1990), our model formulates a recursive market game of insiders, noise traders, and market makers. In particular, the submitted demands of positive feedback inertial traders are influenced by previous own trading quantities. I prove the existence and uniqueness of a recursive linear equilibrium with positive feedback inertial trades. Further, the equilibrium calibrates that the strategies of insider and market makers are also influenced by positive feedback trades. Finally, we conduct a simulation analysis to get a price-volume pattern with some empirical interesting implications.

    Finally, this thesis takes trading strategies to trade the individual stock in TSEC. Although the market mechanism of TSEC has no market makers, it is still expected that these trading strategies are useful for traders which implies the information is filtrated by these trading strategies.
    參考文獻: Reference
    Back, K., 1992, Insider trading in continuous time, Review of Financial Studies, 5, 387-409.
    Bagehot, W., 1971, The only game in town, Financial Analysts Journal, 27, 12-14.
    Chowdhry, B. and V. Nanda, 1991, Multimarket trading and market liquidity, Review of Financial Studies, 3, 483-511.
    Copeland, T. and Galai, D., 1983, Information effects on the bid-ask spreads, Journal of Finance, 38, 1457-1469.
    Demsetz H., 1968, The costs of transacting, Quarterly Journal of Economics, 82, 33-53.
    Easley, D. and M. O’Hara, 1987, Price, trade size, and information in securities market, Journal of Financial Economics, 19, 69-90.
    Fan Yu, 1999, What is the Value of Knowing Uninformed Trades?, Economics Letter, vol. 64, issue1, 87-98.
    Freedman, R., 1989, A theory of the impact of international crosslisting, Working paper (Stanford University).
    French, K. R. and R. Roll, 1986, Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5-26.
    Garman, M., 1976, Market microstructure, Journal of Financial Economics, 3, 257-275.
    Glostem, L. R. and P. R. Milgrom, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71-100.
    Grossman, S.J., and J.E. Stiglitz, 1980, On the impossibility of informationally efficient market, American Economic Review, 70, 393-408.
    Ho, T., and H. Stoll, 1981, Optimal dealer pricing under transactions and return uncertainty, Journal of Financial Economics, 9, 47-73.
    Holden, C. W. and A. Subrahmanyam, 1992, Long lived private information and imperfect competition, Journal of Finance, 47, 247-270.
    Hu, C.K. and S. J. Shieh, 2006, Noise Trades are Inertial, Finance Letters, (EconLit)
    J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, The Journal of Finance, vol. xlv, no. 2, 379-395.
    Kyle, A. S., 1985, Continuous auctions and insider trading, Econometrica, 53, 1315-1335.
    Rochet, J. and J. Vila, 1994, Insider trading without normality, Review of Economic Studies, 61, 131-152.
    Sharpe, W. F., 1964, Capital asset prices: a theory of market equilibrium under condition of risk, Journal of Finance, 19, 425-442.
    Smidt, S., 1971, The road to an efficient stock market, Financial Analysts Journal, 27, 18-20, 64-69.
    Stoll, H., 1978, The supply of dealer services in securities markets, Journal of Finance, 33, 1133-1151.
    Subrahmanyam, A., 1991b, A theory of trading in stock index futures, Review of Financial Studies, 4, 17-51.
    Wang, F. Albert, 1998, Strategic trading, asymmetric information and heterogeneous prior beliefs. Journal of Financial Markets, 1, 321-352.
    描述: 博士
    國立政治大學
    國際經營與貿易研究所
    91351504
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0913515042
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2315检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈