Price-Volume Relation--QFII Order Imbalance in Time Varying Model
Date Issued
2004
Date
2004
Author(s)
Chang, Ya-Lan
DOI
en-US
Abstract
This thesis focuses on QFII influences on stock returns by investigating order imbalance from QFII trading behavior, and then reveals whether there are information contents for investors to exploit and earn profit. We select thirty stocks from TSE and get the daily QFII excess buy/sell volume and return for each individual stocks from March 1, 2003 to December 31, 2003. We employ GARCH (1,1) model to examine the return-volume relation of QFII order imbalance.
The results of this study are described as follows:
1.There are not significant relations between QFII excess buy/sell and stock returns in contemporaneous and lag-one periods.
2.Only four to seven stocks among all samples have significant effects, but they are not consistent in positive or negative directions.
3.Investors cannot obtain referral value from QFII trading information. Consequently, following QFII trading behavior is not a good strategy for investment, they need to seek other references where exist information asymmetries and then can exploit it to take profit.
Subjects
外資買賣超
價量關係
price-volume relation
order imbalance
Type
thesis
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