政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49546

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49546

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/49546

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49546

Title:	台灣期貨市場的資訊交易機率 A Study of the Probability of Informed Trading in Taiwan Futures Market
Authors:	簡秀如 Chien,Hsiu Ju
Contributors:	郭維裕 Kuo,Weiyu 簡秀如 Chien,Hsiu Ju
Keywords:	資訊交易機率
Date:	2007
Issue Date:	2010-12-08 13:31:59 (UTC+8)
Abstract:	本篇文章援引Easley and O’Hara (2002) 所完整建構出來的理論模型,探討台灣期貨市場的資訊交易機率。我們選取台灣十年期政府公債期貨為樣本，以兩個月為期間，在流動性考量下，納入日內資料的每筆交易，實証結果顯示，台灣十年期公債期貨市場資訊交易機率僅為0.23。我們將台灣公債期貨市場資訊交易機率低的原因歸因其缺乏流動性，並進一步就流動性低的原因提出解釋。 This paper follows Easley and O’Hara (2002) and estimates the probability of information-based trading in Taiwan Futures Market. We use the intraday data of 10-year Government Bond Futures in Taiwan Futures Exchange, including all transactions as trades in a trading day for liquidity. Our empirical result shows that the risk of information-based trading is quite low since the estimated probability of the information-based trading of 10-year Government Bond Futures is only 0.23. We attribute this result to the illiquidity of 10-year Government Bond Futures, and we provide several explanations for the illiquidity.
Reference:	[1] David Easley and Maureen O`Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69-90. [2] David Easley, Nicholas M. Kiefer, Maureen O`Hara, 1997, One day in the life of a very common stock, The Review of Financial Studies, Vol. 10, No. 3, 805-835 [3] David Easley, Soeren Hvidkjaer, Maureen O`Hara, 2002,Is information risk a determinant of asset returns?”, The Journal of Finance, Vol. 57, No. 5, 2185-2221 [4] David Easley, Soeren Hvidkjaer, Maureen O`Hara, 2004, Factoring information into returns, Working paper, SSRN [5] David Easley, Maureen O`Hara, P. S. Srinivas,1998, Option volume and stock prices: Evidence on where informed traders trade”, The Journal of Finance, Vol. 53, No. 2, 431-465 [6] David Easley, Nicholas M. Kiefer, Maureen O`Hara and Joseph B. Paperman, 1996, Liquidity, information, and infrequently traded stocks, The Journal of Finance, Vol. 51, No. 4, 1405-1436 [7] Albert S. Kyle, 1985, Continuous auctions and insider trading, Econometrica, Vol. 53, No. 6, 1315-1335 [8] Charles M. C. Lee and Mark J. Ready, 1991, Inferring trade direction from intraday data, The Journal of Finance, Vol. 46, No. 2, 733-746
Description:	碩士國立政治大學國際經營與貿易研究所 95351010 96
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0095351010
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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