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: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91368824194960261890 |