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Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

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  • Yamamoto, Ryuichi

Abstract

This paper conducts an intraday technical analysis of individual stocks listed on the Nikkei 225. In addition to the price-based technical rules popularly examined in the literature, we uniquely propose and statistically investigate technical rules that utilize information regarding (1) the order-flow imbalance and (2) the order-book imbalance. Technical analysis using the imbalance-based trading rules is motivated by the evidence presented first in this paper that short-term returns can be predicted from the information regarding the order-flow and order-book imbalances for more than half of Nikkei 225-listed stocks. However, we demonstrate that no strategies, including limit order trading where trading signals are derived from the order-book imbalance, beat the buy-and-hold strategy within our sample. The results imply that past prices and demand/supply imbalances do not contribute to profiting in intraday trading and that non-execution and picking-off risks are too large for limit order trading to be profitable in our sample.

Suggested Citation

  • Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
  • Handle: RePEc:eee:jbfina:v:36:y:2012:i:11:p:3033-3047
    DOI: 10.1016/j.jbankfin.2012.07.006
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:quaeco:v:66:y:2017:i:c:p:115-126 is not listed on IDEAS
    2. Yang, Ann Shawing, 2016. "Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions," Emerging Markets Review, Elsevier, vol. 28(C), pages 140-154.
    3. Popov, Maxim & Madlener, Reinhard, 2014. "Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas," FCN Working Papers 5/2014, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    4. repec:eee:intfin:v:52:y:2018:i:c:p:102-113 is not listed on IDEAS

    More about this item

    Keywords

    Technical analysis; Order-flow imbalance; Order-book imbalance; Intraday trading; Data snooping; Japanese stock market;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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