根據Easley, Kiefer, O’Hara and Paperman (1996)所發展的模型，我們可以對台灣證券交易所上市的股票進行訊息交易的研究。我們的結果顯示，交易越活絡的股票含有訊息交易的機率越低；而這與Easley, Kiefer, O’Hara and Paperman的研究結果一致；換句話說，紐約證券交易所與台灣證券交易所的股票對於訊息交易都有類似的特性。因此，根據研究結果，沒有訊息的投資人應該多去交易較活絡或交易量較大的股票，因為這些股票含有訊息交易的機率較低。 / Following the empirical model developed by Easley, Kiefer, O’Hara and Paperman (1996), we have investigated the information content of the stocks on the TSEC. Our result reveals that more liquid stocks have the lower risk of informed trade than do less liquid stocks and this is basically consistent with the finding of Easley, Kiefer, O’Hara and Paperman. Stocks on the NYSE and the TSEC have similar characteristics of informed trade. Therefore, for uninformed traders, it is better for them to trade stocks which are more liquid and have higher trading volume.
| Identifer | oai:union.ndltd.org:CHENGCHI/A2002001501 |
| Creators | 胡桂華, Hu, Kuei-Hwa |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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