研究報告
| 學年 | 101 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2012-08-01 |
| 作品名稱 | 雜訊期間不同交易市場之市場品質 |
| 作品名稱（其他語言） | Market Quality of Differential Trading Markets during Noise Information |
| 著者 | 段昌文 |
| 單位 | 淡江大學財務金融學系 |
| 描述 | 計畫編號：NSC101-2410-H032-017
 研究期間：201208~201307
 研究經費：320,000 |
| 委託單位 | 行政院國家科學委員會 |
| 摘要 | The project mainly focuses on examining the price pressure hypothesis among stock, stock futures and stock options during analysts’ recommendations. For classified sample accurately, we make a link between product market power and analysts’ recommendations. We test price pressure in the case of stock, futures and options markets by studying the differential response of stock, futures-implied and option-implied stock prices to the arrival of noise information. Specially, we attempt to answer this inconsistence question in prior empirical study about testing price pressure to noisy information, directly measure of investor attention is used in the study. In the estimated variables for market quality, we create a particular formula in order-driven market and derivatives markets to capture market quality: spread, liquidity, and speed. Furthermore, I estimate related values by these variables to compare market quality around analysts’ post-recommendation. Finally, we also test the ability about forecasting future price between analyst and informed trader by estimated probability of informed trading pre-recommendation. 本研究焦點在分析師推薦個股期間，驗證股票、個股期貨與個股選擇權於雜訊到達時之價格壓 力假說。為了分類這些分析師推薦樣本的正確性，我們連結了產品市場的定價能力與分析師的 推薦，進一步我們透過股票價格、個股期貨隱含之股票價格 (futures-implied stock price) 與個 股選擇權隱含之股票價格 (options-implied stock price) 檢測其反應雜訊後之反應，特別的，為 了嘗試解決先前文獻於雜訊期間驗證價格壓力假說的不一致情況，我們使用量化之投資者關注 (investor attention) 指標於本研究中。為了正確衡量委託單驅動與衍生商品市場中的市場品 質，我們特別設計了三種獨特觀察市場品質之指標，分別有價差、流動性與速度，進一步利用 這些變數估計相對指標，以比較雜訊到達後之不同市場間之市場品質。最後，為了比較分析師 亦或訊息交易者對未來價格具有預測能力，我們估計推薦前之訊息交易機率 (probability of informed trading) 來檢測。 |
| 關鍵字 | 分析師推薦; 期貨與選擇權隱含之股票價格; 市場品質; 投資者關注; 雜訊; 價格壓力假說; Analysts’ recommendation; futures-/option-implied stock price; investor attention; market quality; noise information; price pressure hypothesis |
| 語言 | zh_TW |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/102985 ) |