鉅額跌幅投機型個股報酬率、波動性與買賣單不平衡之動態關係研究

Dynamic relations between order imbalance, return and volatility of extreme losers

陳晏慈(Yen-Tzu Chen)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.03052

摘要

本研究採用鉅額跌幅投機型個股的日內資料取代過去研究者所使用的日資料來進行研究。在延續前人的研究探討日內買賣單不平衡對於個股報酬率的影響外，另加入了波動性的因子以探討日內買賣單不平衡對於波動性的影響。此外也嘗試建立以買賣單不平衡為基礎的交易策略以期獲得超額報酬。
首先我們以GARCH(1,1)模型及複迴歸模型來研究日內買賣單不平衡與個股報酬率間的關係，發現兩者呈現正向的顯著關係，與前人的研究結論相同。而在不考慮當期下，前一期的買賣單不對稱與股價報酬率間則呈現負向的顯著關係。接著我們以修正過的GARCH(1,1)模型進行日內買賣單不平衡與波動性間關係的探討，發現結果呈現正向的顯著關係，較大量買賣單不平衡會使得報酬率波動較激烈。接著我們以簡單迴歸模型來驗證買賣單不平衡和公司規模間是否存在著小型股效果。實證結果顯示兩者之間僅有相當微弱的負顯著關係。
最後，本研究嘗試以買賣單不平衡為基礎發展交易策略並檢視其獲利性。由於本研究是以鉅額跌幅投機型個股為樣本，故以放空後回補做為我們的策略，結果發現，在進行交易量篩選之後，此交易策略能夠替投資者賺取超額報酬。

關鍵字

買賣單不平衡 ； 資訊不對稱 ； 波動性

並列摘要

This study adopts intraday return instead daily return used by previous researches to examine the effect of order imbalance not only on the individual stock return but also volatility among extreme losers. After that, we build up order imbalance-based trading strategies to gain profit.
First, the contemporaneous order imbalance-return relation is examined by GARCH (1,1) model and time-series regression model. The data presents significantly positive relation in both models as previous studies. Second, we focus on the lagged effect of the return and find that such relation is negatively significant while contemporaneous imbalance has positive significant. Third, we examine the volatility-order imbalance relationship by revised GARCH (1,1) model. The positive relationship is consistent with our expectation that larger imbalance would make return more volatile. Then, our empirical test of the small firm effect shows the weakly negative relation between order imbalance and market capital.
At last, we design two order imbalance-based trading strategies based on different price matched to the imbalance: the trading price and bid-ask price, separately and test the profitability. Due to the characteristics of our extreme losers, we adopt short selling strategy. Our results show the huge profitability of the two strategies when we pick up only the extreme volume.

並列關鍵字

order imbalance ； information asymmetry ； volatility

參考文獻

1. Admati, A. and P. Pfleiderer, 1988, “A Theory of Intraday Patterns: Volume and Price Variability,” Review of Financial Studies, 1, 3-40.

2. Barclay, M. and J. Warner, 1993, “Stealth Trading and Volatility,” Journal of Financial Economics, 34, 281-305.

3. Barclay, M. J., T. Hendershott and D. T. Mccormick, 2003, “Competition Among Trading Venues: Information and Trading on Electronic Communications Networks,” Journal of Finance 58, 2637-2666.

5. Bessembinder, H. and M. Kaufman, 1997, “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks,” Journal of Financial Economics 46, 293-320.

6. Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327.