政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/67028

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/67028

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題名:	Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
作者:	山本竜市 Yamamoto, Ryuichi
貢獻者:	國貿系
關鍵詞:	Technical analysis;Order-flow imbalance;Order-book imbalance;Intraday trading;Data snooping;Japanese stock market
日期:	2012.11
上傳時間:	2014-06-30 17:56:54 (UTC+8)
摘要:	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.
關聯:	Journal of Banking and Finance, 36(11), 3033-3047
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jbankfin.2012.07.006
DOI:	10.1016/j.jbankfin.2012.07.006
顯示於類別:	[國際經營與貿易學系 ] 期刊論文

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