The Relation Between Relative Order Imbalance and Intraday Futures Returns: An Application of the Quantile Regression Model to Taiwan

Chiao Yi Chang and Fu Shuen Shie

Emerging Markets Finance and Trade, 2011, vol. 47, issue 3, 69-87

Abstract: Adopting the quantile regression model, this paper describes the positive relation between relative order imbalance and intraday futures returns. The positive connection is relatively stronger for lower quantiles of intraday futures returns than for higher quantiles. However, the connection vanishes within 30 minutes. The results reflect the compensation of the uncertainty and the absence of liquidity for relatively lower returns in the Taiwan futures market. Furthermore, this paper finds evidence supporting an L-shaped pattern for intraday futures returns.

Keywords: intraday data; order imbalance; quantile regression model (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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