研究生: |
王至誠 Wang, Chih-Cheng |
---|---|
論文名稱: |
隱藏性交易(stealth trading)之研究--以台灣股市與美國股市為例 |
指導教授: |
王明隆
Wang, Ming Lung 陳俊男 Chen, Chun Nan |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2002 |
畢業學年度: | 90 |
語文別: | 中文 |
論文頁數: | 70 |
中文關鍵詞: | 隱藏性交易 、內部訊息 、交易額 |
外文關鍵詞: | stealth trading, trading size, inside information |
相關次數: | 點閱:152 下載:5 |
分享至: |
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摘 要
本研究參考Barclay and Warner(1993)提出之研究方法,利用1999年第三季與第四季,台灣股市與美國股市日內交易資料,檢定公開訊息假說(public information hypothesis)與隱藏性交易假說(stealth trading hypothesis),從中探討內部訊息交易者(informed trader)對於交易額的選擇。台灣與美國的實證結果均顯示,公開訊息假說確實不成立,價格波動不僅僅反映公開訊息,並且隱含其他內部訊息,在隱藏性交易假說方面,結果顯示小額交易較易存在內部訊息,與Barclay and Warner(1993)所得中額交易較易存在內部訊息的結論並不相符。
然而,由於Barclay and Warner(1993)提出之研究方法具有基本假設的限制,經本研究實證發現,在大多數的市場下其基本假設並不成立,並且存在異質變異數的問題,將造成實證結果的偏誤,因此,本研究進一步提出修正模型,結果發現修正模型不僅不受基本假設限制,且能有效消除異質變異數的問題。另一方面,其實證結果顯示修正模型亦拒絕空開訊息假說,而接受隱藏性交易假說,其中,大額交較易存在內部訊息,此結論與Easley and O’Hara(1987)所認為大額交易中訊息交易比例較高的結論一致。
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