Relationship Between Market Orders and Stock Returns: Evidence from Taiwan

Chiao Yi Chang (), Andy Chien and Ya-Ting Hsu
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Chiao Yi Chang: National Taichung University of Science and Technology, Department of Insurance and Finance, No. 129 Sec. 3, Sanmin Road, Taichung, 404, Taiwan
Andy Chien: National Kaohsiung First University of Science and Technology, Department of Money and Banking, Taiwan
Ya-Ting Hsu: Chinatrust Commercial Bank, Datong Branch, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2014, vol. 17, issue 02, 1-23

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.

Keywords: Reference point; order imbalance; panel model (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1142/S0219091514500131

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