The purpose of this paper is to explore the information content in a trading, confirm the relationship between information-trading probability (PIN) and asset returns, and apply PIN to construct an investing strategy on a point of uninformed trader¡¦s view. I develop a decision marking model about trading decision between under order-driven market which is combined on the decision tree of the concept of D. Easley et al. (1997) and Merton (1976) jump diffusion model for modifying the PIN model to apply to order-driven market. As a result, the daily PIN were positive relatively with return, and the investing strategy which was based my model could make profit significantly in the sample period at TWSE in 2003, this investing strategy can earn profit in down and up market condition both. This result supports that hedging against information asymmetric risk is potential.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0125110-160100 |
| Date | 25 January 2010 |
| Creators | Teng, Yi-chin |
| Contributors | Robin K. Chou, Tai Ma, Chien-Chiang LI |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0125110-160100 |
| Rights | unrestricted, Copyright information available at source archive |
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