交易量在預測內部交易機率與技術分析的訊息價值

THE INFORMATIONAL ROLE OF TRADING VOLUME IN THE PROBABILITY OF INFORMED TRADING AND TECHNICAL ANALYSIS

本文探討在市場上流動性交易者的比例不確定的環境下，交易量所具有的資訊意涵，並檢驗技術分析的有效性。研究發現，透過同時觀察價格與交易量，投資者可以推論出內部交易者比例及私有訊息的真實值。本文也探討了技術分析的有效性及其應用，研究結果指出技術分析有助於提升投資者的預期效用，尤其是對於波動率較大的資產，技術分析所帶來的效益更為顯著。同時，在技術分析的應用上，由於在本文的環境設定下，價格往往有反應不足的現象，因此，均衡結果建議交易者應該採用動量交易策略(momentum strategy)，而交易的強度則跟交易量有關，交易量越大則交易的強度應該越高。

This paper discusses the information content of the trading volume and the effectiveness of technical analysis in the economy in which the proportion of informed trading is uncertain. In our model, trading volume can provide additional information which cannot be deduced by price. Specifically, we show that traders can deduce the proportion of the informed traders and the value of the private signal from observing both the price change and trading volume. Technical analysis is proved to be a valuable tool to the uninformed traders. It can help them predict the value of assets, especially that of the volatile assets, more accurately. Finally, we also investigate the application of technical analysis. Our results suggest the traders should use momentum trading strategies, and the trading intensity should be positively related to the trading volume.