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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30068


    Title: 慣性噪音下的內部人交易
    Inside trading with inertial noise trades
    Authors: 胡昌國
    Hu, Chang Kuo
    Contributors: 謝淑貞
    Shieh, Shwu Jane
    胡昌國
    Hu, Chang Kuo
    Keywords: 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
    Date: 2007
    Issue Date: 2009-09-11 17:09:57 (UTC+8)
    Abstract: 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.
    Reference: Reference
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    Description: 博士
    國立政治大學
    國際經營與貿易研究所
    91351504
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913515042
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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