請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58383完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 何耕宇(Keng-Yu Ho) | |
| dc.contributor.author | Ts-Mou Hwu | en |
| dc.contributor.author | 胡子牟 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:13:16Z | - |
| dc.date.available | 2025-07-13 | |
| dc.date.copyright | 2020-07-17 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-13 | |
| dc.identifier.citation | Abad, D. and J. Yagüe, 'From PIN to VPIN: An introduction to order flow toxicity,' Spanish Review of Financial Economics, 10, 74-83, 2012. Abad, D., M. Massot and R. Pascual, 'Evaluating VPIN as a trigger for single-stock circuit breakers,' Journal of Banking and Finance, 86, 21-36, 2018. Andersen, T. G. and O. Bondarenko, 'VPIN and the flash crash,' Journal of Financial Markets, 17, 1-46, 2014. Andersen, T. G. and O. Bondarenko, 'Reflecting on the VPIN dispute,' Journal of Financial Markets, 17, 53-64, 2014. Andersen, T. G., T. Bollerslev, F. X. Diebold and H. Ebens, 'The distribution of realized stock return volatility,' Journal of Financial Economics, 61, 43-76, 2001. Cheung, W. M., R. K. Chou and A. C. H. Lei, 'Exchange-Traded Barrier Option and VPIN: Evidence from Hong Kong,' Journal of Futures Markets, 35, 561-581, 2015. Easley, D., N. M. Kiefer, M. O’Hara and J. B. Paperman, 'Liquidity, Information and Infrequently Traded Stocks,' Journal of Finance, vol. 4, September 1996. Easley, D., R. F. Engle, M. O’Hara and L. Wu, 'Time-Varying Arrival Rates of Informed and Uninformed Trades,' Journal of Financial Econometrics, 171-207, 2008. Easley, D., M. M. López de Prado and M. O’Hara, 'The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading,' Journal of Portfolio Management, 37, 118-128, 2011. Easley, D., M. M. López de Prado and M. O’Hara, 'Flow Toxicity and Liquidity in a High-frequency World,' Review of Financial Studies, 25, 1457-1493, 2012. Easley, D., M. M. López de Prado and M. O’Hara, 'Bulk Classification of Trading Activity,' working paper, 2012. Easley, D., M. M. López de Prado and M. O’Hara, 'VPIN and the Flash Crash: A rejoinder', Journal of Financial Markets, 17, 47-52, 2014. Easley, D., M. M. López de Prado and M. O’Hara, 'Discerning information from trade data,' Journal of Financial Economics, 120, 269-285, 2016. Ke, W. C. and H. W. W. Lin, 'An Improved Version of the Volume-Synchronized Probability of Informed Trading (VPIN),' working paper, 2015. Lee, C. M. C. and M. J. Ready, 'Inferring Trade Direction from Intraday Data,' Journal of Finance, 46, 733-746, 1991. Pöppe, T., S. Moos and D. Schiereck, 'The sensitivity of VPIN to the choice of trade classification algorithm,' Journal of Banking and Finance, 73, 165-181, 2016. Yildiz, S., B. Van Ness and R. Van Ness, 'VPIN as an Ex-Ante Warning Signal for Liquidity Deteriorations in the U.S. Equity Markets', working paper, 2017. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58383 | - |
| dc.description.abstract | 本文藉由選取台灣90家電子類股的上市公司做為樣本，並用2016年至2017年每天之日內交易資料，使用VPIN（Volume-Synchronized Probability of Informed Trading）當作指標來預測日內未來的波動度，並判斷VPIN的有用與否，以及將公司依特徵做分類，使用多項羅吉斯迴歸來檢驗擁有何種性質的公司VPIN越有預測短期未來波動度的效果；最後發現成交量越多、P/B ratio越高、公司對大盤超額波動的程度越大以及外資持股比率越高的公司，VPIN越有能力預測短期未來的波動度。 | zh_TW |
| dc.description.abstract | This thesis employs the intraday trading data of 90 exchange listed companies in the electronics sector on Taiwan Stock Exchange from 2016 to 2017 as the sample to examine whether VPIN (Volume-Synchronized Probability of Informed Trading) can be a useful indicator to forecast the intraday future volatility. In addition, this thesis examine what kind of companies can make the VPIN more likely to be an effective leading indicator to forecast intraday future volatility by conducting a multinomial logistic regression of the usefulness of the VPIN over the attributes of examined companies. Finally, this thesis finds that the VPIN performs better in predicting intraday future volatility for those companies with higher trading volume, P/B ratio, excess volatility and institutional investments. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:13:16Z (GMT). No. of bitstreams: 1 U0001-1307202017473500.pdf: 3525992 bytes, checksum: 158bcf5c897cb9c7d546b1b12a321c76 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 誌謝 i 中文摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vi 表目錄 vii 一、 緒論 1 二、 文獻回顧 2 2.1 Volume-Synchronized Probability of Informed Trading (VPIN) 之介紹 4 2.2 成交量分組 (Tick Rule 與 Bulk Classification) 4 三、 資料與方法 6 3.1 資料 6 3.2 本文計算 VPIN 之方法 6 3.3 VPIN 預測波動度模型 10 3.3.1 高點訊號機制 11 3.3.2 變化量訊號機制 11 3.4 公司特性解釋 VPIN 預測波動度 12 四、 結果與分析 14 4.1 VPIN 與 Realized Volatility 14 4.2 VPIN 與公司特性 15 五、 結論 20 參考文獻 21 附錄一 23 附錄二 29 | |
| dc.language.iso | zh-TW | |
| dc.title | 使用VPIN預測台灣市場日內權益波動度 | zh_TW |
| dc.title | Forecasting Intraday Equity Volatilities with VPIN in Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王之彥(Jr-Yan Wang) | |
| dc.contributor.oralexamcommittee | 莊文議(Wen-I Chuang),繆維中(Wei-Chung Miao) | |
| dc.subject.keyword | 台股,VPIN,PIN,realized volatility, | zh_TW |
| dc.subject.keyword | Taiwan Stock,VPIN,PIN,realized volatility, | en |
| dc.relation.page | 31 | |
| dc.identifier.doi | 10.6342/NTU202001481 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-07-14 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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|---|---|---|---|
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