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    题名: The Probability of Informed Trading and the Performance of Stock in an Order-Driven Market
    作者: Ma,Tai;Hsieh,Ming-hua;Chen,Jan-hung
    馬黛;謝明華;陳健宏
    贡献者: 風管系
    关键词: Probability of Informed Trading;Liquidity;Efficiency;Volatility;Order-Driven Market
    日期: 2007-11
    上传时间: 2014-02-27 17:06:31 (UTC+8)
    摘要: 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.
    關聯: Asia-Pacific Journal of Financial Studies, 36(6), 871-896
    数据类型: article
    显示于类别:[風險管理與保險學系] 期刊論文

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