南華大學機構典藏系統:Item 987654321/23650
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    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/23650


    Title: The Correlation between Bid-ask Volume and Weighted Stock Index of Taiwan Securities
    Authors: 白宗民;Paia, Tzung-Min;Shih, Meng-Long;Hsiao, Shu-Hua;Chen, Kuan-Yu
    Contributors: 財務金融學系
    Keywords: Finance; bid-ask volume; quantile regression; the weighted stock index (WSI);intraday weighted stock index returns (IWSIR)
    Date: 2013-10
    Issue Date: 2015-11-12 14:31:21 (UTC+8)
    Abstract: This study uses quantile regression to discuss the relationship between the bid-ask volume at market opening and the rate of returns of the weighted stock index (WSI). The average sold bid-ask volume at market opening of the previous 20 days is treated as the proxy variable to measure the “level of market capital”; the difference between the intraday buying bid-ask volume at market opening and the average bought bid-ask volume of the previous 20 days is treated as the proxy variable of “the level of buyer intention”; and the difference between the intraday buying and selling volumes at the market opening are treated as the proxy variable of “the difference between buyer and seller intention”. The research period is from January 2, 2002 to December 11, 2009, with daily data of 1975. It is shown that there is a significant and positive impact between the level of market capital, the level of buyer intention, and the difference between buyer and seller intention, with the first power of the rate of returns of the intraday WSI. There is at least one coefficient less than zero at the high-order term. The bid-ask orders at market opening can be a reference when investors analyze intraday closing prices.
    Relation: Journal of Interdisciplinary Mathematics
    vol. 16, no.2-3
    pp.171-189
    Appears in Collections:[Department of Finance, The M.A. Program of  Financial Management] Periodical Articles

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