Investor Behavior, Trade Duration and TXO Price Volatility

• Main Authors: Yi-Ting Chang, 張怡婷
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/46939057907916355983

碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === This study uses ACD(1,1) and ACD(1,1)-GARCH(1,1) model to discuss the relatedness of duration between volume and maturity, and effect of price volatility come from investor behavior. We also discusses and compares investors’ trading volume and trading duration, and use the TXO price volatility for inverse of duration and investor behavior to interpret the existence of informed trading. We found that, the inverse correlation between volume and duration and a positive correlation between maturity and duration. Second, at-the-money and in-the-money options have informed trading. Third, institutional investors trade for informed at at-the-money and out-the-money. In addition to, individual investors not only take noise trading and market maker take liquidity trading and hedging. Forth, informed investors not only make the informed trading, and last, trade duration affect price volatility, and there are informed trading in TXO market.