政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/12476

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/12476

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12476

Title:	An Empirical Study on Informed Trading on the Taiwan Stock Exchange
Authors:	郭維裕;胡桂華 Kuo, Weiyu;Hu, Kuihwa
Keywords:	Market Microstructure;Sequential Trading Model;Information Trading
Date:	2003-01
Issue Date:	2008-12-03 13:52:53 (UTC+8)
Abstract:	Following the sequential trading model developed by Easley, Kiefer, OâHara and Paperman (1996), we examine the information content of stock trading on the TSEC. Our result reveals that more liquid stocks have lower risk of informed trading than less liquid stocks, which is basically consistent with the finding of Easley, Kiefer, OâHara and Paperman. This result implies that stocks on the NYSE and the TSEC have similar characteristics of information-based trading even though the trading mechanisms in these two stock markets are different. According to what we have found, we suggest uninformed traders on the TSEC trade more liquid or higher trading volume stocks in order to avoid the cost of adverse selection induced by the informed trading.
Relation:	證券市場發展季刊, 14(4), 39-73
Data Type:	article
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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