國際股市資訊結構之實證研究

An Empirical Study on the Information Structure of International Stock Markets

劉玉珍(Yu-Jane Liu)

《臺大管理論叢》 5卷1期 (1994/02) Pp. 189-221

https://doi.org/10.6226/NTURM1994.5.1.189

摘要

由於資訊在投資決策中扮演關鍵位置，如何取得與分析資訊乃是投資人汲汲營營的目標。過去對資訊的研究多偏重於理論探討，這實是由於資訊的抽象特性使然，因此，極需加以轉換成可以觀察而衡量的型式。本研究以波式跳躍擴散過程，使用累差法估計資訊參數，以描述國際股市的資訊結構的特性。研究結果發現，(1)連續競價、電腦交易、交易稅徵收與融資融券制度都是影響股價震幅的重要因素。(2)實施連續競價制度的股市，資訊偏誤較小。(3)電腦化交易並未加劇股價波動。

關鍵字

波式跳躍擴散過程 ； 資訊釋放頻率 ； 資訊跳躍強度 ； 資訊偏誤 ； 雜訊

並列摘要

Since information is an important role on investment decision, investors have the needs to obtain and analyze the information. Past literature on information focuses on theoretical models because of the abstract essence of information. Therefore, it is necessary to transform it into observable and measurable forms. By applying Poisson jump-diffusion processes, this study uses cumulants to measure the information structure of international stock markets. The results indicate that: (1) Continuous trading, computerized trading, transaction taxes and margin requirements are the determinants of price volatility. (2) Information bias is smaller in a continuous market rather than that in a call market. (3) Computerized trading does not necessarily induce price volatility.

並列關鍵字

Poisson jump-diffusion process ； information frequency ； information jump ； information bias ； information error