資訊交易對股票報酬波動率之不對稱影響

The Asymmetric Effect of Informed Trading Activity on Stock Return Volatility

股票市場資訊交易行為與報酬波動率的關係，為財經領域中重要的課題，文獻顯示當股票價格下跌時，非資訊交易者的交易造成波動率的上升，反之當價格上漲時，資訊交易則會降低股票的波動率。本研究提出新的看法，本研究使用PIN來衡量資訊交易參與的程度，發現以整體股票市場而言，資訊交易的增加確會導致波動率的和緩。但若區分不同資訊交易參與程度的股票，發現資訊交易和波動率之間存在不對稱的效應，對資訊參與較頻繁的股票而言，當資訊交易增加時，資訊交易者套利型的交易活動，會穩定股票價格的波動，反之，對資訊參與較貧乏的股票而言，資訊交易會導致價格異常的震盪，增加股票波動率。本研究對股票資訊交易的行為模式，提供了重要的分析，並對波動率的相關研究如衍生性商品定價、風險管理、及財務計量等，有重要的參考價值。

The relationship between informed trading activity and stock return volatility is one key subject and under-explored in literature. Prior studies shows that when stock prices drop, uninformed trading increase volatility, and when stock prices go up, informed trading lower volatility. This current paper provides a new finding showing that the relation between informed trading activity and return volatility is asymmetrical across stocks with different levels of informed trading participation. For stocks with high level of informed trading activity, an increase of informed trading would stabilize the volatility. For stocks who have little involvement of informed traders, on the other hand, more informed trading activity leads to higher return volatility. This asymmetric effect between the two variables provides important reference to derivative pricing, risk management, and financial econometrics.