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Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

Ryuichi Yamamoto (ryuichi@waseda.jp)

Journal of Banking & Finance, 2012, vol. 36, issue 11, 3033-3047

Abstract: This paper conducts an intraday technical analysis of individual stocks listed on the Nikkei 225. In addition to the price-based technical rules popularly examined in the literature, we uniquely propose and statistically investigate technical rules that utilize information regarding (1) the order-flow imbalance and (2) the order-book imbalance. Technical analysis using the imbalance-based trading rules is motivated by the evidence presented first in this paper that short-term returns can be predicted from the information regarding the order-flow and order-book imbalances for more than half of Nikkei 225-listed stocks. However, we demonstrate that no strategies, including limit order trading where trading signals are derived from the order-book imbalance, beat the buy-and-hold strategy within our sample. The results imply that past prices and demand/supply imbalances do not contribute to profiting in intraday trading and that non-execution and picking-off risks are too large for limit order trading to be profitable in our sample.

Keywords: Technical analysis; Order-flow imbalance; Order-book imbalance; Intraday trading; Data snooping; Japanese stock market (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:36:y:2012:i:11:p:3033-3047

DOI: 10.1016/j.jbankfin.2012.07.006

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