資訊風險，價格跳動，與股票價格動態效應

Information Risk, Price Jumps, and Stock Price Momentum

顧正雄(Cheng-Hsiung Ku)

指導教授 ： 黃宜侯

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2013年)

https://doi.org/10.6838/YZU.2013.00094

摘要

在財務實證下發現資訊風險可以用來解釋價格跳動，根據現有文獻可以發現資訊風險可以用來解釋報酬異常現象。在我們的論文中，我們想要調查價格跳動的來源是否和資訊風險及資訊模糊度有關，並且探討價格跳動的來源是來自資訊交易者或是非資訊交易者。此外，價格跳動的行為和有資訊的交易行為會根據動能效應及景氣循環變化。結果發現，贏家的價格跳動是由資訊交易者所驅使，輸家的價格跳動是由非資訊交易者所驅使。在景氣衰退的時候，價格跳動是由資訊交易者所驅使；在景氣擴張的時候，價格跳動是由非資訊交易者所驅使。特別地，在景氣擴張的時候，贏家的價格跳動是由資訊交易者所驅使。

關鍵字

價格跳動 ； 資訊風險 ； 動能效應

並列摘要

Empirical financial evidence shows the stock price jump can be explain by information risk. Existing studying find the information risk is a pricing factor for explain the return anomalies. In our paper, we want to investigate the relation between jump orientation with information risk and information ambiguity. The jump orientation is from informed traders or noise traders. Finally, the jump behavior and the information-based trading are different across momentum classification. Particularly, the jump behavior of winners stocks is oriented by informed traders and the jump behavior of losers stocks is driven from noise traders. The jump behavior of recession is oriented by informed traders and the jump behavior of expansion is driven from noise traders. Particularly, the jump behavior of winners stocks is oriented by informed traders during expansion.

並列關鍵字

Price jump ； Information risk ； Momentum

參考文獻

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