The Effect of Bid-Ask Volume to Taiwan Stock Prices on Taiwan Stock Exchange

• Main Authors: Kuan-yu Chen, 陳冠宇
• Other Authors: Tsung-min Pai
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/16952776494079427727

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 98 === 　　This study uses quantile regression to explore the relationship between the first minute order volume and the return of Taiwan stock weighted index. For the variables are chosen, the market capital level, the strength of buyer''s ambition and the difference of buyer and seller''s intention is proxy by the 20 days moving average of the sell-order volume, the difference of the buy-order volume between Today and the 20 days moving average and order imbalance separately. The sample includes 1975 daily data from January 2 2002 to December 11 2009 in Taiwan stock market. The empirical result shows that the 20 days moving average of the sell-order volume, the difference of the buy-order volume between Today and the 20 days moving average and order imbalance have a positive significant nonlinear effect on the return of Taiwan stock weighted index.