Examining Intraday Returns with Buy/Sell Information

Shinn-Juh Lin and Jian Yang
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Shinn-Juh Lin: Department of International Business, National Chengchi University

No 38, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper examines high frequency stock returns with buy/sell signals. It demonstrates how such trading information could be utilized in a qualitative threshold framework to explain and predict the asymmetric behaviour of intrady stock returns. The study discovers that the buyer-dominating regime is consistently associated with negative returns, while the seller-dominating regime is consistently associated with positive returns. This is consistent with our suggestion of using the sign of the net buy/sell trading volume as the threshold indicator. Furthermore, the model renders better predicting power than that produced by a pure generalized autoregressive conditional heteroskedasticity model. Most interestingly, these reults are quite robust across all twelve actively traded stocks on the Australian Stock Exchange that we have examined, and hence provide strong support for the potential usefulness of buy/sell signals and the qualitative threshold model in analyzing the dynamics of high frequency financial asset returns.

Keywords: qualitative threshold model; buy/sell information (search for similar items in EconPapers)
JEL-codes: C14 G13 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2000-03-01
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Published as: Lin, S. and Yang, J., 2003, "Examining Intraday Returns with Buy/Sell Information", Applied Financial Economics, 13(6), 447-461.

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