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...
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2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91368824194960261890 |
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ndltd-TW-105NCHU53040092017-10-06T04:22:04Z http://ndltd.ncl.edu.tw/handle/91368824194960261890 The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures 極端委託單不平衡對市場報酬率之影響：以台股指數期貨為例 Wei-Han Lai 賴為漢 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. Bing-Huei Lin 林丙輝 2017 學位論文 ; thesis 22 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
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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.
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| author2 |
Bing-Huei Lin |
| author_facet |
Bing-Huei Lin Wei-Han Lai 賴為漢 |
| author |
Wei-Han Lai 賴為漢 |
| spellingShingle |
Wei-Han Lai 賴為漢 The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures |
| author_sort |
Wei-Han Lai |
| title |
The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures |
| title_short |
The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures |
| title_full |
The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures |
| title_fullStr |
The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures |
| title_full_unstemmed |
The Impact of Extreme Order Imbalance on Market Return: Evidence from TAIEX Futures |
| title_sort |
impact of extreme order imbalance on market return: evidence from taiex futures |
| publishDate |
2017 |
| url |
http://ndltd.ncl.edu.tw/handle/91368824194960261890 |
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