A Study of the Probability of Informed Trading in Taiwan Futures Market

A Study of the Probability of Informed Trading in Taiwan Futures Market

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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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Main Authors: Chien,Hsiu Ju, 簡秀如
Other Authors: Kuo,Weiyu
Format: Others
Language:en_US
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/91480674946953162278
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spelling ndltd-TW-096NCCU53210312015-11-30T04:02:56Z http://ndltd.ncl.edu.tw/handle/91480674946953162278 A Study of the Probability of Informed Trading in Taiwan Futures Market 台灣期貨市場的資訊交易機率 Chien,Hsiu Ju 簡秀如 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. Kuo,Weiyu 郭維裕 2008 學位論文 ; thesis 30 en_US
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language en_US
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description 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.
author2 Kuo,Weiyu
author_facet Kuo,Weiyu
Chien,Hsiu Ju
簡秀如
author Chien,Hsiu Ju
簡秀如
spellingShingle Chien,Hsiu Ju
簡秀如
A Study of the Probability of Informed Trading in Taiwan Futures Market
author_sort Chien,Hsiu Ju
title A Study of the Probability of Informed Trading in Taiwan Futures Market
title_short A Study of the Probability of Informed Trading in Taiwan Futures Market
title_full A Study of the Probability of Informed Trading in Taiwan Futures Market
title_fullStr A Study of the Probability of Informed Trading in Taiwan Futures Market
title_full_unstemmed A Study of the Probability of Informed Trading in Taiwan Futures Market
title_sort study of the probability of informed trading in taiwan futures market
publishDate 2008
url http://ndltd.ncl.edu.tw/handle/91480674946953162278
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