| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 100 === The Taiwan market is a shallow-dish economy, and has serious insider-trading. Moreover, the frequent financial crises caused fluctuations in the domestic market. Thus, the uninformed investors suffered huge losses. The purpose of this study is to employ the simplest method to measure market information asymmetry, so the uninformed investors can avoid the information risk. Because the traditional model of the probability of informed trading (PIN) has to use numerical method to estimate the unknown parameters of the model. However, the non-convergence problem occurs when it is applied to high frequency data. Therefore, Easley, López and O''Hara (2011) improved traditional PIN model, and proposed the Volume-Synchronized Probability of Informed Trading (VPIN) model. In this study, we apply the VPIN model to estimate the VPIN values of TAIEX futures, and use the estimated value of VPIN to analyze the degree of TAIEX futures information asymmetry and its relationship with price volatility. Additionally, this study would like to investigate whether TAIEX futures VPIN value has warning effect.
We use intraday data from January 2, 2008 to December 31st for the estimation of TAIEX futures VPIN values. The empirical results show that: (1) TAIEX futures VPIN values have greater reaction on the trading day with a large price fluctuation; (2) TAIEX futures VPIN values and absolute return are negatively correlated; (3) TAIEX futures VPIN values do not exist warning effect.
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