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

• 발행기관: 한국유통과학회
• 저자명: Teng Tsai Tu Duong Truc Phuong
• 간행물 정보: 『KODISA ICBE (International Conference on Business and Economics)』2017 International Conference on Business and Economics (ICBE 2017), 173~175쪽, 전체 3쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2017.07.06

영문 초록

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.

목차

Abstract

1. Introduction

2. Literature Review

3. Methodology

4. Empirical Results

5. Conclusion

Reference

키워드

Asymmetric ACD PIN Microstructure Volatility Taiwan Stock Exchange