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- Title
Relationship Between Market Orders and Stock Returns: Evidence from Taiwan.
- Authors
Chang, Chiao Yi; Chien, Andy; Hsu, Ya-Ting
- Abstract
Unlike previous studies that adopted price as the reference point in this paper we employ the adjusted order imbalance that relates to volume as a reference. We examine the relationship between a firm's characteristics and stock returns. Adjusted order imbalance, including trading direction of stock index and trading volume of individual stock and stock index, is freely and easily obtained by investors in Taiwan. Employing the panel regression model, this paper found prior adjusted order imbalance has a significantly positive relationship with individual stock returns. Additionally, empirical results show that adjusted order imbalance enhances the impacts of the value and size variables.
- Subjects
TAIWAN; MARKET orders; STOCKS (Finance); INVESTMENTS; BUSINESS enterprises; INVESTORS; REGRESSION analysis
- Publication
Review of Pacific Basin Financial Markets & Policies, 2014, Vol 17, Issue 2, p1
- ISSN
0219-0915
- Publication type
Article
- DOI
10.1142/S0219091514500131