NASDAQ最大漲幅避險型個股之日內報酬率-買賣單不對稱關係
Intraday Return-Order Imbalance Relation in NASDAQ Hedging Top Gainers
Date Issued
2006
Date
2006
Author(s)
Chou, Ming-Jin
DOI
en-US
Abstract
Order Imblances have been proved to have a significant relationship with stock return. Previous researches also shows speculative trades generate different stock return pattern with hedging trades. In this paper, we want to observe the relation between order and intraday return of hedging stock when hedging event happens and the continuing day.
In our research, we find GARCH (1,1) model can capture the time series data well. In the event day, contemporaneous order imbalances have a significant effect on stocks return. On the contrary, the relationship between order imbalances and stock return become unobvious in the second day. It means the hedging activities only happen in a short time.
In addition, we use simple regression model to test size effect. The result shows there is significant relationship between market capitalization and the influence of order imbalance to its stock return. This result can help us to screen hedging stock.
Subjects
買賣單不對稱
價量關係
Order imbalance
GARCH
Type
thesis