NASDAQ新低投機型個股之日內報酬-買賣單不對稱關係
Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Lows
Date Issued
2005
Date
2005
Author(s)
Lee, Fu-Yin
DOI
en-US
Abstract
By former researches we learn that daily order imbalance has significant explanatory power to daily return. And we think that intraday order imbalance is more useful information to investors because it may contain the latest market information and will have greater influence to stock price than those of previous transaction days. Thus we adopt intraday data in our research, to investigate the relation between intraday return and order imbalance.
In this research we try to see if intraday order imbalance has explanatory power to return. By using dynamic time and sale data in GARCH(1,1) model and by 90-second data in time-series regression models, we find out that there is significant contemporaneous effect, that is, the contemporaneous order imbalance has explanatory power to return, both in dynamic and 90-second time and sale data. On the other hand, we do not see significant predictability in lag-one period order imbalance to return, that is, the lag-one period order imbalance does not show predictability to contemporaneous return.
At last, we build a cross-sectional regression model to test the small-firm effect. We found out that there is small-firm effect. It means that the smaller the firm’s capital expenditure, the greater the influence of order imbalance to its stock return.
Subjects
價量關係
買賣單不對稱
information asymmetry
price-volume relation
order imbalance
Type
thesis
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