Investigate and Analyze the Effect of the MicrostructureVariables Related to Trading Volume for Stock Returns.

• Main Authors: Po-Wen Chen, 陳柏文
• Other Authors: Yen-sen Ni
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/72859705205498346455

碩士 === 淡江大學 === 管理科學研究所碩士班 === 99 === This study investigates the microstructure relationship related to price and volume for constituent stocks of Taiwan 50. By employing econometric approaches for intraday data from 2005 to 2009, this study explores several impressive findings. The studied result discloses that opening trading volume would negatively affect stock returns. It means that burst trading volume happened in the opening trading period is not a good signal for buying stocks. However, if the stock price rises up over 3.5%, the result, on the country, show a good signal for buying shares. The higher net buy from foreign institution would lift up share prices well-known by previous studies. Nevertheless, higher participation of foreign investment institution, namely, the higher the percentage of trading volume including total buying and selling volume without taking net buy or net sell into account, would positively affect stock returns, which is seldom employed and disclosed by relevant studies.