(20-01) "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange"
Data from the Taiwan Stock Exchange identify the originator of each submitted order. We study order imbalances categorized by trade size and by investor type, (individuals, domestic institutions, foreign institutions.) Aggregate order imbalances for a given stock are positively autocorrelated from day to day. The persistence in order imbalances is strongest for small foreign institutions and weakest for large individual investors. All investor types are contrarian; they submit excess buy orders after price rises and excess sell orders after declines. Large individual investors are the most contrarian. Domestic institutions secure the highest returns from trading. Large individual investors trade to counteract order imbalances, but they over-react and thus fail to earn superior returns.â€
Year of publication: |
2001-11-27
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Authors: | Lee, Yi-Tsung ; Liu, Yu-Jane ; Roll, Richard ; Subrahmanyam, Avanidhar |
Institutions: | Anderson Graduate School of Management, University of California-Los Angeles (UCLA) |
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