Probability of Informed Trading and Momentum Effect in Taiwan stock market

• Main Authors: Lin,Chih-Yi, 林志逸
• Other Authors: Kuo,Shew-Huei
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/d5x323

碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This paper is to analyze the relationship between the probability of informed trading(PIN) and portfolio-investing strategy with high-frequency data. The trading data were all fully quoted on the Taiwan Securities Exchange Company(TSEC). We find that PIN is surely performance-persisting factor in the momentum life cycle (Lee and Swaminathan, 2000). Theoretically, PIN presages the availability of private information. The higher is PIN, the less public is the information of a firm. We build up tri-dimensional, (PIN, turnover, return), life cycle model to cull a better performance-persisting portfolio. It is found that low-PIN winner with low turnover earns 27 percent in 48 weeks.