https://scholars.lib.ntu.edu.tw/handle/123456789/414564
標題: | Intraday causality between order imbalance and return of speculative top losers | 作者: | Su, Yong Chern SHING-YANG HU Huang, Han Ching Hsieh, Jun Quei |
關鍵字: | Causality | Information asymmetry | Multiple hypotheses testing method | Order imbalance | Top loser | 公開日期: | 1-一月-2009 | 卷: | 6 | 期: | 1 | 起(迄)頁: | 130 | 來源出版物: | Investment Management and Financial Innovations | 摘要: | This paper explores dynamic conditional and unconditional causality relation between intraday return and order imbalance on extraordinary events. We examine the dynamics in NASDAQ speculative top losers. In this study, we introduce a multiple hypotheses nested causality method for identifying the dynamic conditional and unconditional causality relation between intraday returns and order imbalances. The volume-stratified results suggest order imbalance be a better return predictor in small trading volume quartile. The order imbalance-based trading strategies are useful from 11:30 A.M. to 2 P.M. than in other time regimes. © Yong-Chern Su, Shing-Yang Hu, Han-Ching Huang, Jun-Quei Hsieh, 2009. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414564 | ISSN: | 18104967 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/78349271655 |
顯示於: | 財務金融學系 |
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