The information content of order imbalance - Evidence from TAIEX option and futures markets

• Main Authors: Lin, I–Hsiang, 林逸翔
• Other Authors: Chen, Chao–Chun
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/4aqur6

碩士 === 東海大學 === 財務金融學系 === 105 === This research investigates whether order imbalances in the TAIEX index market, TAIEX futures market, and TAIEX option market predict subsequent price movements of the TAIEX index, and explores whether informed trading or hedging trading of market makers drives this predictability. The empirical evidence shows that all of the index order imbalance, futures order imbalance, and option order imbalance positively predict the future TAIEX return. Moreover, the predictability of the futures order imbalance comes from informed trading, whereas both the predictability of the index order imbalance and that of the option order imbalance come from the liquidity trading or hedging activities of market makers.