English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51510/86705 (59%)
Visitors : 8273413      Online Users : 95
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31505

    Title: 以選擇權理論估計訊息交易機率
    Other Titles: Measuring the probability of informed trading by option approach
    Authors: 江孟穎;Chiang, Meng-ying
    Contributors: 淡江大學財務金融學系碩士班
    段昌文;Duan, Chang-wen
    Keywords: 逆選擇成本;訊息交易機率;Panel Data模型;選擇權;Adverse selection cost;probability of informed trading;panel data model;Options approach
    Date: 2008
    Issue Date: 2010-01-11 00:50:34 (UTC+8)
    Abstract: 本文選取S&P100指數成份股及ETF,觀察2001年1月29日NYSE將報價檔次從分數改為小數報價前後訊息交易機率,並以NASDAQ股票作為對照組,並將成交及報價檔合併使每筆成交皆對應一筆報價,依據 EKOP及選擇權模型估計訊息交易機率,並對日內訊息交易機率的型態作一探討。最後,我們在控制共同變數下,應用Panel Data模型來分析控制變數、訊息代理變數與交易機率間的連結關係。
    以Panel Data模型進行實證的結果顯示,小數報價前大公司與小公司之最小量比率以及中公司之中額比率對訊息交易機率的影響皆為正;最後,透過加入虛擬變數發現在縮小報價檔次後確實會改變訊息代理變數與訊息交易機率的關係,除小公司之中額比率外,各類公司均一致顯示最大量比率、最小量比率與中額比率對訊息交易機率的影響程度增加。
    The paper attempts to observe the probability of informed trading around the pre-/post- decimal pricing in January 29, 2001 for S&P100 constituent stocks and ETF by Easley, Kiefer, O’Hara, and Paperman (1996) and option approaches, In cross and time sectional analysis, we examine the linkage between from controlling variables, proxy variables of informed trader and the probability of informed trading through the Panel Data model.
    Empirical results find that the probability of informed trading is decreasing after decimal pricing on equity sample. It implies that the probability of adverse selection is decreasing on market makers but fails for ETF sample. We also show that informed traders prefer the time between after open of the trading day and midday to the other one about submission order.
    The empirical results of the Panel Data model illustrate that the relationship between the informed agency variables of trading volume following small-quantitity of trading day and probabilities of informed trading are positive during pre-decimal pricing to high-/low- size stocks, moreover, the trading volume following medium-quantity of trading day is positive with the probability of informed trading for middle-size stocks.
    Finally, the Panel Data model adding dummy variables, we find that the relationship between the informed agency variables and the probability of informed trading would be change after decimalization of NYSE. Furthermore, large, small, and medium quantities have more effect on the probability of informed trading for equity samples except medium quantities on low- market capitalization companies.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback