Intraday Return – Order Imbalance Relation in NASDAQ Speculative Top Gainers

• Main Authors: Chia-Hui Shen, 沈佳慧
• Other Authors: 蘇永成
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/24029392626147650735

碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === In this article, our main purpose is to explore the relationship between order imbalances and stock returns. Considering the liquidity and the efficiency of the market we research, we selected our samples from NASDAQ daily top gainers. We are curious about what factor makes these attractive top gainers win such remarkable positive returns in such a short time period. According to former studies, we decide that order imbalance of the individual stocks might be a proxy that reveals the insiders’ private information and thus it might be a critical factor in influencing stock returns. Before testing whether there are some special relationships exist between stock returns and order imbalances, we have to make judgments on the properties of our data. First we apply GARCH (1,1) model to see whether it can fit our time series data. In our research, we found that for over 70% of our sample stocks, the GARCH (1,1) model can successfully captured their time-variant proprieties. We also found that either by using the FORTRAN program or by using regression models, contemporaneous order imbalances both have a significant influence on the contemporaneous stock returns. However, the influence weakened when lagged order imbalances are employed. As for the test of small firm effect, we see a negative relationship between a firm’s logged market capitalization and its current order imbalance coefficients. However, the relationship is not significant.