DPIN measure of TWSE listed stocks & information level of different types of trader
碩士 === 國立清華大學 === 經濟學系 === 103 === The paper consists of two parts. In the first part of this research, we evaluate the level of informed trading of TWSE (Taiwan Stock Exchange) listed stocks by using dynamic intraday measure of the probability of informed trading (DPIN measure) published in Chang,...
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ndltd-TW-103NTHU53890162016-08-15T04:17:37Z http://ndltd.ncl.edu.tw/handle/86555032147130374258 DPIN measure of TWSE listed stocks & information level of different types of trader 台灣股票市場日內動態訊息交易機率指標和不同身份投資人訊息程度衡量 He, Ruei Jia 何瑞嘉 碩士 國立清華大學 經濟學系 103 The paper consists of two parts. In the first part of this research, we evaluate the level of informed trading of TWSE (Taiwan Stock Exchange) listed stocks by using dynamic intraday measure of the probability of informed trading (DPIN measure) published in Chang, Chang and Wang (2014). In addition, with the unique dataset of traders’ types from TWSE, we distinguish the DPIN with four groups, namely, individual, funds, foreign investor and other corporation, to discuss the level of private information in different types of traders, in stock of different industries, under different levels of trading volumes, or under different market regulations (the shrink of time spread between each deal). In the second part of the paper, we choose 10 stocks from TAI 50 to discuss the feasibility of using DPIN as criteria to practice high-frequency trading. We identify and follow the informed traders by DPIN and the unexpected return. Ignoring trading costs, our results show that most stocks have positive accumulative return. That said, our primitive trading strategies are unprofitable if trading costs are taken into account. We then add three more criteria and extend the holding period of each transaction to decrease the frequency of trading, to improve the ability to predict the changing direction of stock price, and to well-capture the local price trends. This modified trading strategies generate substantially higher profits relative to the buy-and-hold market portfolio, even when transaction costs are taken in account. Sin, Chor Yiu 冼芻蕘 2015 學位論文 ; thesis 70 zh-TW |
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碩士 === 國立清華大學 === 經濟學系 === 103 === The paper consists of two parts. In the first part of this research, we evaluate the level of informed trading of TWSE (Taiwan Stock Exchange) listed stocks by using dynamic intraday measure of the probability of informed trading (DPIN measure) published in Chang, Chang and Wang (2014). In addition, with the unique dataset of traders’ types from TWSE, we distinguish the DPIN with four groups, namely, individual, funds, foreign investor and other corporation, to discuss the level of private information in different types of traders, in stock of different industries, under different levels of trading volumes, or under different market regulations (the shrink of time spread between each deal).
In the second part of the paper, we choose 10 stocks from TAI 50 to discuss the feasibility of using DPIN as criteria to practice high-frequency trading. We identify and follow the informed traders by DPIN and the unexpected return. Ignoring trading costs, our results show that most stocks have positive accumulative return. That said, our primitive trading strategies are unprofitable if trading costs are taken into account. We then add three more criteria and extend the holding period of each transaction to decrease the frequency of trading, to improve the ability to predict the changing direction of stock price, and to well-capture the local price trends. This modified trading strategies generate substantially higher profits relative to the buy-and-hold market portfolio, even when transaction costs are taken in account.
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author2 |
Sin, Chor Yiu |
author_facet |
Sin, Chor Yiu He, Ruei Jia 何瑞嘉 |
author |
He, Ruei Jia 何瑞嘉 |
spellingShingle |
He, Ruei Jia 何瑞嘉 DPIN measure of TWSE listed stocks & information level of different types of trader |
author_sort |
He, Ruei Jia |
title |
DPIN measure of TWSE listed stocks & information level of different types of trader |
title_short |
DPIN measure of TWSE listed stocks & information level of different types of trader |
title_full |
DPIN measure of TWSE listed stocks & information level of different types of trader |
title_fullStr |
DPIN measure of TWSE listed stocks & information level of different types of trader |
title_full_unstemmed |
DPIN measure of TWSE listed stocks & information level of different types of trader |
title_sort |
dpin measure of twse listed stocks & information level of different types of trader |
publishDate |
2015 |
url |
http://ndltd.ncl.edu.tw/handle/86555032147130374258 |
work_keys_str_mv |
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