andVolume–ReturnRelationAtimevaryingmodelbased.pptVIP

2004/12/20 Information Asymmetry and Volume-Return Relation Information Asymmetry and Volume –Return Relation?A time varying model based on order imbalance of individual stock Yongchern Su Hanching Huang Key Issues Analyze the order imbalance - return effect, effect of return autocorrelation and volume - volatility effect simultaneously. Use intraday data ( 90 second, 15 minute ) to express the dynamic relation. Literature review on the relation between return and order imbalances Order imbalances reveal more information than volume. Large order imbalance has great impact on price