An Analysis of the Relations between Order Flow and Returns for Taiwan stock Index futures

• Main Authors: Ping-jiun Ou, 歐評郡
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/32531749945727613319

碩士 === 國立高雄第一科技大學 === 金融營運所 === 91 === The response of security prices to trading activity is the consequence of asymmetric information. The lack of trade may signal that no new information exists, and the time between trades can itself affect prices. This study empirically analyzes the price impact of trades by investigating the relations between order flow and returns. In addition, the relations between unexpected order flow and returns are investigated. The analysis using ultra-high frequency data of Taiwan stock index futures contracts. The data period is from Jan. 1, 2001 to Dec. 31, 2001. The main empirical results are as following. Firstly, the relation between order flow and returns is nonlinear. Secondly, the information content of order flow increases with its size, but the marginal information is decreasing by order flow.