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Estimation of the Asymmetric ACD-PIN Model: The Case of Taiwan Stock Exchange

This paper measure the asymmetric ACD probability of information trading (AACD PIN) under the case of Taiwan Stock Exchange (TWSE) market. Our microstructure data is obtained from TWSE and we calculate the asymmetric ACD probability of information trading for high-frequency transaction individual stocks. By using an extension of Tay et al. (2009)’s methodology, which based on an AACD model of the expected duration of buy- and sell-orders, we measure AACD PIN for selected stocks in Conventional, Electronic and Financial Services industry selected from TWSE listed stocks. Our empirical results indicate that the weighted AACD PIN is smaller than that of the simple AACD PIN in each type of the industry. Next, the smaller the market capitalization of the firms, the larger the value of both simple and weighted AACD PIN. Our results also reveal that the performance of daily state probabilities for AACD-PIN model has the same fluctuation with liquidity and opposite trending with volatility for each industry.

Abstract

1. Introduction

2. Literature Review

3. Methodology

4. Empirical Results

5. Conclusion

Reference

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