Advanced Search
MyIDEAS: Login to save this paper or follow this series

Examining Intraday Returns with Buy/Sell Information

Contents:

Author Info

  • Shin-Juh Lin
  • Jian Yang
Registered author(s):

    Abstract

    This paper examines high frequency stock returns with buy/sell signals. It demonstrates how such trading information could be utilized in a qualitative threshold framework to explain and predict the asymmetric behaviour of intrady stock returns. The study discovers that the buyer-dominating regime is consistently associated with negative returns, while the seller-dominating regime is consistently associated with positive returns. This is consistent with our suggestion of using the sign of the net buy/sell trading volume as the threshold indicator. Furthermore, the model renders better predicting power than that produced by a pure generalized autoregressive conditional heteroskedasticity model. Most interestingly, these reults are quite robust across all twelve actively traded stocks on the Australian Stock Exchange that we have examined, and hence provide strong support for the potential usefulness of buy/sell signals and the qualitative threshold model in analyzing the dynamics of high frequency financial asset returns.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp38.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 38.

    as in new window
    Length:
    Date of creation: 01 Mar 2000
    Date of revision:
    Handle: RePEc:uts:rpaper:38

    Contact details of provider:
    Postal: PO Box 123, Broadway, NSW 2007, Australia
    Phone: +61 2 9514 7777
    Fax: +61 2 9514 7711
    Web page: http://www.qfrc.uts.edu.au/
    More information through EDIRC

    Related research

    Keywords: qualitative threshold model; buy/sell information;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    2. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
    3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    4. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Zhou, Bin, 1996. "High-Frequency Data and Volatility in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 45-52, January.
    9. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
    10. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    11. Locke, P R & Sayers, C L, 1993. "Intra-day Futures Price Volatility: Information Effects and Variance Persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 15-30, Jan.-Marc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:38. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.