資訊交易對股票報酬預測性之影響

The influence of Informed Trading on Return Forecast.

陳賢美(Hsien-Mei Chen)

指導教授 ： 林蒼祥

共同指導教授 ： 蔡蒔銓(Shih-Chuan Tsai)

淡江大學/商學院/財務金融學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00194

摘要

資訊不對稱對股市有重大的影響力，本研究主要以 2005 到 2006 年台灣股票交易市場為樣本，根據 Easley et al. (1996)提出之資訊交易機率(PIN)理論模型與 Hu (2006)簡單估計雜訊之模型作為衡量資訊交易之指標，探討投資人日內資訊交易與股票報酬、價格變動時間與交易量之關係，觀察交易變數間之交互影響關係，進而剖析台灣股票市場投資人日內之交易行為。
本研究實證結果發現，在資訊交易機率越多之股票投資組合中，股票價格變動較緩慢，交易情況也較不活躍，與最小 50 雜訊值之投資組合結果相同。而在資訊交易較多的股票中，可利用當期股票報酬與交易量來預測未來之股票報酬；而在資訊交易較少之股票中，交易變數與股票報酬則較無顯著相關。另外，資訊交易機率較大的股票投資組合，當市場上出現一資訊變動時，其變數收斂
較快速，完全反應至交易變數上的時間會較短。

關鍵字

資訊交易 ； 雜訊 ； 價格時距 ； 報酬率

並列摘要

Information asymmetry has a great influence on the stock market. The main purpose of this study is to investigate the relationship between intraday informed
trading and trading variables such as stock return, duration and volume. Based on the data from the Taiwan stock market in 2005 and 2006, followed the probability of
information-based trading (PIN) model by Easley et al.(1996) and the measurement of noise by Hu(2006) to estimate the informed trading. We then observe the
correlation between trading variables and the analysis of the intraday investor behavior.
The finding of this paper suggests that the greater PIN stock portfolio, slows down the volatility of stock price, and lowers the trade volume. The result matches
to the investment portfolio of 50 stocks with the lowest noise. Moreover, for the more informed trading stock, the future return can be projected from the current return and trade volume of the stock, which is not possible with less informed trading stock. Additionally, the more informed traded stocks converge more rapidly to their long-run equilibrium after an initial perturbation.

並列關鍵字

informed trade ； noise ； duration ； return

參考文獻

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