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Relationship Between Market Orders and Stock Returns: Evidence from Taiwan

Author

Listed:
  • Chiao Yi Chang

    (National Taichung University of Science and Technology, Department of Insurance and Finance, No. 129 Sec. 3, Sanmin Road, Taichung, 404, Taiwan)

  • Andy Chien

    (National Kaohsiung First University of Science and Technology, Department of Money and Banking, Taiwan)

  • Ya-Ting Hsu

    (Chinatrust Commercial Bank, Datong Branch, Taiwan)

Abstract

Unlike previous studies that adopted price as the reference point in this paper we employ the adjusted order imbalance that relates to volume as a reference. We examine the relationship between a firm's characteristics and stock returns. Adjusted order imbalance, including trading direction of stock index and trading volume of individual stock and stock index, is freely and easily obtained by investors in Taiwan. Employing the panel regression model, this paper found prior adjusted order imbalance has a significantly positive relationship with individual stock returns. Additionally, empirical results show that adjusted order imbalance enhances the impacts of the value and size variables.

Suggested Citation

  • Chiao Yi Chang & Andy Chien & Ya-Ting Hsu, 2014. "Relationship Between Market Orders and Stock Returns: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-23.
    • Handle: RePEc:wsi:rpbfmp:v:17:y:2014:i:02:n:s0219091514500131
    DOI: 10.1142/S0219091514500131
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    More about this item

    Keywords

    Reference point; order imbalance; panel model;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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