Earticle

초록

영어

This paper proposes a set of measurement to analyze the information content of limit order book based on cointegration theory and error correction model, and conduct empirical studies using the tick-by-tick transaction data of Shanghai Stock Exchange 180 Index components. Empirical results indicate that limit-order book is informative, even the orders other than the best bid and ask can also contribute approximately 41% to the price discovery. Further, this paper also pays a lot of attention to examine the relationships between the limit-order book and the short-run future return of the stocks. We find that the information of a limit-order book can help investors to forecast the future short-term return and thus improve the overall welfare of them.

목차

Abstract
 1. Introduction
 2. Hypotheses and Model
 2.1. Basic Hypotheses
 2.2. Research Methods
 3. Data and Descriptive Statistics
  3.1. Sample Selection and Processing
  3.2. Descriptive Statistics
 4. Empirical Results and Analysis
  4.1. The Information Content of Limit Order Book
  4.2. The Relationship between Limit Order Book and Short-Term Equity Returns
 5. Conclusion
 References

키워드

저자

• Yaqing Liu [ School of Economics and Management, North China University of Technology, China ]
• Hongbing Ouyang [ School of Economics, Huazhong University of Science and Technology, China ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  International Journal of u- and e- Service, Science and Technology

• 간기

  격월간

• pISSN

  2005-4246

• 수록기간

  2008~2016

• 십진분류

  KDC 505 DDC 605