NYSE和TSX雙邊掛牌個股之日內報酬率-買賣單不對稱關係
Intraday Return-Order Imbalance Relation in Cross-Listings between NYSE and TSX
Date Issued
2006
Date
2006
Author(s)
Chen, Yung-Ching
DOI
en-US
Abstract
With the growing globalization of financial markets, increasing number of stocks list on two different exchanges simultaneously. Also, according to previous studies, order imbalance of the individual stocks might reveal the insiders’ private information and thus it might be a critical factor in influencing stock returns. In this article, our main purpose is to clarify the extent of information flows in terms of the relationship between order imbalances and stock returns from different exchanges.
We process dynamic time and sale data in GARCHM (1, 1) – MA (1) model and find out that the GARCHM (1, 1) – MA (1) model can successfully capture time-variant proprieties for over 97% of our sample stocks. Our empirical result shows extent of information transformation efficiency depends on the information density within the region. Contemporaneous order imbalances have a significant impact on stock returns of cross-listed shares for specific companies which have seldom information in investors’ domestic country. We believe that the information density is a substantial factor to influence the information flow between domestic and cross-listed exchanges.
Subjects
買賣單不對稱
cross-listings
order imbalance
information asymmetry
Type
thesis
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