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題名：信用交易隱含之日內資訊
書刊名：證券市場發展季刊
作者：張眾卓 引用關係
作者(外文)：Chang, Chong-chuo
出版日期：2014
卷期：26:2=102
頁次：頁91-150
主題關鍵詞：信用交易；市場微結構；內部人交易；資訊不對稱；Margin trading；Market microstructure；Insider trading；Information asymmetry
原始連結：連回原系統網址new window
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  • 共同引用共同引用:89
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本研究藉由市場微結構與內部人交易之角度，探究信用交易對資訊不對稱程度的影響，以瞭解信用交易所隱含之日內資訊。本研究的實證結果顯示，內部人的確會運用其資訊優勢進行交易，故內部人異常淨買入或異常淨賣出的頻率愈高，資訊不對稱程度愈嚴重；此外，信用交易隱含內部人交易之資訊，故投資者可藉由信用交易之資訊降低資訊不對稱的程度；同時，當信用交易的程度愈多時，其所隱含的內部人交易資訊，將減緩內部人交易所造成之資訊不對稱的問題。值得一提的是，上述結果在經由內生性之考量，以及替代不同資訊不對稱程度變數、小規模企業與大規模企業之子樣本檢測、電子產業與非電子產業之子樣本檢測、多頭市場期間與空頭市場期間之子樣本檢測、納入升降單位之考量等穩健性的驗證下，仍然存在。
We examined the effects of margin trading on information asymmetry from the perspective of market microstructure and insider trading to understand the intraday information that is implied in margin trading. The empirical results indicated that insiders transact by using their information advantages. Therefore, more abnormal insider net buying or abnormal insider net selling increases information asymmetry. Furthermore, margin trading implicates information on insider transactions. Using the information on margin trading, investors may reduce information asymmetry. In addition, when the frequency of margin trading increases, the implicated insider transaction information of margin trading reduces information asymmetry caused by insider transactions. These results held after we considered endogeneity and tick size, substituted variables of various information asymmetries, and conducted subsample tests of small-scale and large-scale enterprises, electronic and non-electronic industries, and bear and bull markets.
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會議論文
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研究報告
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