A Study of the Probability of Informed Trading in Taiwan Futures Market
碩士 === 國立政治大學 === 國際經營與貿易研究所 === 96 === This paper follows Easley and O’Hara (2002) and estimates the probability of information-based trading in Taiwan Futures Market. We use the intraday data of 10-year Government Bond Futures in Taiwan Futures Exchange, including all transactions as trades in a t...
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91480674946953162278 |
| Summary: | 碩士 === 國立政治大學 === 國際經營與貿易研究所 === 96 === This paper follows Easley and O’Hara (2002) and estimates the probability of information-based trading in Taiwan Futures Market. We use the intraday data of 10-year Government Bond Futures in Taiwan Futures Exchange, including all transactions as trades in a trading day for liquidity. Our empirical result shows that the risk of information-based trading is quite low since the estimated probability of the information-based trading of 10-year Government Bond Futures is only 0.23. We attribute this result to the illiquidity of 10-year Government Bond Futures, and we provide several explanations for the illiquidity.
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