Intraday Return – Order Imbalance Relation in NASDAQ Speculative New Highs
Date Issued
2005
Date
2005
Author(s)
Tseng, Wei-Ling
DOI
en-US
Abstract
According to previous studies, we can learn from volume depends on why investors trade and how trades with different motives relate to prices. Speculative trades generate positively autocorrelated returns. There is a phenomenon that returns of individual stocks on high-volume days are more sustainable. Therefore, we focus on speculative stocks which reach to 52-week new high records. There might be possibly with more information inside because they have kept good performance in earnings or revenues. Order imbalance is employed as a proxy of information asymmetry in this article. Relation between intraday return and order imbalance is investigated.
Every trade order imbalances is used as our explanatory variable in GARCH (1,1) model. Besides, because informed traders tend to split orders into small size, we also examine relation between order imbalance and return in 90-second, 3-minute, or 15-minute interval time-series regression tests. The major findings are as follows. A contemporaneous significant positive relation exists in all kinds of interval tests, especially for 90-second and 3-minute interval tests. The coefficients of lagged order imbalances are negative but not significant. It can be explained as asymmetric information effect. After controlling contemporaneous order imbalance, it shows continuation in lag-one relations in 90-second interval test. In 3-minute and 15-minute interval tests, the results are mixed.
Finally, the relation of contemporaneous coefficients and market capitalization is significantly negative in all kinds of interval tests. It implies that there is more information asymmetry in smaller firms.
Subjects
價量關係
GARCH模型
買賣單不對稱
Information Asymmetry
Price-Volume Relation
Order Imbalance
GARCH Model
Type
thesis
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