作者未提供

• Main Authors: Jang-Ju Jiang, 江掌珠
• Other Authors: 作者未提供
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/38ws38

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 92 === Abstract This study examines empirically the role of informed trading in affecting asset returns using the model of measuring the probability of informed trading (PIN) by Easley , Hvidkjaer and O＇Hara(2002) and the momentum life cycle hypothesis by Lee and Swaminathan(2000). It estimates the probability of informed trading using the intraday tick data from January 1997 to June 2003 for individual stocks listed on Taiwan Stock Exchange. The result shows that the probability of informed trading is higher when there exists more private information and that the probability of informed trading for individual stock is approximately 0.2 which is consistent with the findings of the US equity markets. By incorporating PIN into the 2-dimentional model to construct a 3-dimentional momentum strategy, the PIN＇s application in forming investment portfolio strategy and asset allocation could be verified. This study also shows that PIN and volume turn over have significantly positive effect on investment rate of return. In the performance persistency testing, the investment portfolio with high PIN exhibits more obvious momentum effect. Moreover in the 3-dimentional momentum strategy using both weekly and monthly data, it shows that the investment portfolio with low volume turn over and low investment rate of return but high PIN will perform better persistently for six months. Furthermore, the above findings could be established under different testing periods which has substantiated its robustness.