The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures
碩士 === 國立中興大學 === 財務金融學系所 === 105 === The study uses intraday order and trade data of TAIEX futures. Define “Order Imbalance” as the difference between buy orders and sell orders. Using order imbalance to measure investor behavior, we examine the relation between order imbalance, liquidity and marke...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/91368824194960261890 |
| Summary: | 碩士 === 國立中興大學 === 財務金融學系所 === 105 === The study uses intraday order and trade data of TAIEX futures. Define “Order Imbalance” as the difference between buy orders and sell orders. Using order imbalance to measure investor behavior, we examine the relation between order imbalance, liquidity and market return. We also discuss the influence of extreme order imbalance. The empirical results show that order imbalance actually has positive influence on lag liquidity and market return. Nevertheless, extreme order imbalance will shorten the time for influence. There are exhibit significant reversals following periods of extreme low trading imbalances and low market returns.
|
|---|