Informed Trading on the Taiwan Stock Exchange

• Main Authors: Kueihwa Hu, 胡桂華
• Other Authors: Weiyu Kuo
• Format: Others
• Language: en_US
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/16816909918090695103

碩士 === 國立政治大學 === 國際貿易學系 === 89 === 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.