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Order Imbalance, Spread and Return: Evidence from TAIFEX and SGX-DT
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Order Imbalance, Spread and Return: Evidence from TAIFEX and SGX-DT
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| Creator |
Yu Chuan Huang
Ming Po Lin |
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| Description |
We use Taiwan stock index futures traded on TAIFEX and SGX-DT to examine the spread patterns under order imbalances. The Results show that the spreads are maximized when orders are imbalanced and minimized when orders are balanced in quote driven market (SGX-DT). Whereas, the spreads are minimized when orders are imbalanced and maximized when orders are balanced in order driven market (TAIFEX). The intraday patterns of buyer (seller) initiated number of trade are found to be U-shaped. We investigate the dynamic relation between return and order imbalances. The results show that the TAIFEX is more resilient and deeper than SGX-DT. Key words: Trading Mechanism; Order Imbalance; Spread; Intraday pattern; Liquidity |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-06-03
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011144
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| Source |
Journal of Financial Studies; Vol 11, No 2 (2003); 71
財務金èžå¸åˆŠ; Vol 11, No 2 (2003); 71 |
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| Language |
—
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