Are Superior Information Inherent in Different Investors Determinants of Asset Pricing in the Taiwan Equity Market?

• Main Authors: Chia-Hsin Huang, 黃家興
• Other Authors: Chung-Jung Lee
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/qw9j98

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === This study applies the tick data from TSEC, include trade book, display book and limit order book. In order to discuss trade from different investor types and examine which kind of trader trades more information. Furthermore, we can comfirm investor behavior in the Taiwan equity market. In line with the law of buyer or seller with identify advanced by Lee and Ready(1991), Ellis, Michaely and O’Hara(2000), Odders-White(2000) and Finucane(2000), and estimate the correct probability of institution and individual, which is buyer or seller. This study extending the work of Easely, Hvikjaer and O`hara (2002), they examine probability of information -based trading (PIN) estimating individual stocks in NYSE having private information, and derive a measure of the probability of information-based trading. Specifically, we use transactions and quote data of Taiwan Stock Exchange to measure PIN. Cross-sectional asset pricing tests show that PIN is a significant pricing factor in Taiwan stock market, and we estimate this measure using Lee and Ready (1991) tick rules. Aktas, Bodt, Declerck & Oppens (2007) indicated that PIN had measured the proportion of the informed traders trade, and PIN can’t find the difference between private or public information. Our results reveal that PIN caused by institution is higher than individual. In the other words, PIN caused by institution can catch higher proportion of the informed traders trade in the market. Finally, our factor test analysis find that PIN without considering investor types is a determinant of abnormal return in the Taiwan equity market, which was also advanced by EHO (2002). Because of PIN caused by some investor types is only a portion of PIN. Furthermore, PIN without considering investor types is a determinant of asset pricing in the Taiwan equity market. By the way, the PIN’s momentum effect is certainly exists.