Individual Investor Trading Strategies and Stock Returns in the Taiwan Stock Market
碩士 === 國立東華大學 === 經濟學系 === 98 === This paper investigates the relationship between individual investors’ trading strategies and future stock returns in the Taiwan Stock Exchange. To better understand investors’ trading strategies, we first distinguish small orders from large orders. Then, we decompo...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18339912689982366862 |
| Summary: | 碩士 === 國立東華大學 === 經濟學系 === 98 === This paper investigates the relationship between individual investors’ trading strategies and future stock returns in the Taiwan Stock Exchange. To better understand investors’ trading strategies, we first distinguish small orders from large orders. Then, we decompose the buy-sell imbalance (BSI) into the marketable limit order imbalance (MOI) and executed nonmarketable limit order imbalance (ENMOI) and assess their individual importance. Our evidence shows that large (small) BSIs forecast future returns up to 5 (10) trading days. The results reveal that large or small trade imbalances by individual investors can both predict the future stock returns in the short horizon.
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