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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/64293

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64293

Title:	The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market
Authors:	Ma,Tai;Hsieh,Ming-hua;Chen,Jan-hung 馬黛;謝明華;陳健宏
Contributors:	風管系
Keywords:	Probability of Informed Trading;Liquidity;Efficiency;Volatility;Order-Driven Market
Date:	2007-11
Issue Date:	2014-02-27 17:06:31 (UTC+8)
Abstract:	We estimate the probability of informed trading (Pi) in an order–driven stock market and perform a comprehensive analysis on the interrelations among Pi and three common performance indicators: liquidity, volatility, and efficiency. We find that uninformed traders exhibit price chasing behavior, and price volatility attracts uninformed traders. Using 3SLS which considers the endogeneity of Pi and the liquidity, volatility and efficiency measures, we find that Pi and the volatility and liquidity are simultaneously determined. Higher Pi leads to lower liquidity and higher volatility, and vice versa. Firms with larger size, higher ownership concentration, and lower turnover have higher Pi.
Relation:	Asia-Pacific Journal of Financial Studies, 36(6), 871-896
Data Type:	article
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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