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U.S. Quantitative Easing Policy Effect on TAIEX Futures Market Efficiency
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
U.S. Quantitative Easing Policy Effect on TAIEX Futures Market Efficiency
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| Creator |
Huang, Han Ching
Su, Yong Chern Chen, Wei-Shen |
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| Description |
This paper examines the market efficiency of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures after the announcement of Quantitative Easing (QE) policy. Order imbalance is used to explore the relationship between return and order imbalance. We find that under the unconditional OLS model, lagged order imbalances almost have no significantly positive predictive power for current return. Nonetheless, on the trading day after the announcement of QE 1 policy, one-minute interval data show that the lagged order imbalance has predictive power for current return. Under the conditional OLS model, the reversed relation between current return and lagged order imbalance is not universal; on the other hand, after the announcement of QE 2 policy, the reversed relation between current return and lagged order imbalance is more common. Moreover, under volatility-GARCH (1, 1), one-minute interval data shows significantly positive relation between order imbalance and volatility.
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| Publisher |
Redfame Publishing
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| Contributor |
—
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| Date |
2017-06-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/aef/article/view/2494
10.11114/aef.v4i4.2494 |
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| Source |
Applied Economics and Finance; Vol 4, No 4 (2017); 94-109
2332-7308 2332-7294 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/aef/article/view/2494/2624
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| Rights |
Copyright (c) 2017 Applied Economics and Finance
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