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Dynamic Return-Order Imbalance Relationship Response To Leveraged Buyout Announcements

Author

Listed:
  • Han-Ching Huang
  • Yong-Chern Su
  • Yao-Hsuan Chang

Abstract

Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is insignificant, suggesting that market makers have a good ability to mitigate volatility of LBO firms on event dates. Our imbalance-based trading strategy earns a positive profit but cannot beat a buy-and-hold return.

Suggested Citation

  • Han-Ching Huang & Yong-Chern Su & Yao-Hsuan Chang, 2014. "Dynamic Return-Order Imbalance Relationship Response To Leveraged Buyout Announcements," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(2), pages 55-63.
    • Handle: RePEc:ibf:gjbres:v:8:y:2014:i:2:p:55-63
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Leveraged-buyout; Order Imbalance; Return; Volatility;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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