| dc.contributor | 國貿系 | en_US |
| dc.creator (作者) | 山本竜市 | zh_TW |
| dc.creator (作者) | Yamamoto, Ryuichi | en_US |
| dc.date (日期) | 2012.11 | en_US |
| dc.date.accessioned | 30-Jun-2014 17:56:54 (UTC+8) | - |
| dc.date.available | 30-Jun-2014 17:56:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 30-Jun-2014 17:56:54 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/67028 | - |
| dc.description.abstract (摘要) | This paper conducts an intraday technical analysis of individual stocks listed on the Nikkei 225. In addition to the price-based technical rules popularly examined in the literature, we uniquely propose and statistically investigate technical rules that utilize information regarding (1) the order-flow imbalance and (2) the order-book imbalance. Technical analysis using the imbalance-based trading rules is motivated by the evidence presented first in this paper that short-term returns can be predicted from the information regarding the order-flow and order-book imbalances for more than half of Nikkei 225-listed stocks. However, we demonstrate that no strategies, including limit order trading where trading signals are derived from the order-book imbalance, beat the buy-and-hold strategy within our sample. The results imply that past prices and demand/supply imbalances do not contribute to profiting in intraday trading and that non-execution and picking-off risks are too large for limit order trading to be profitable in our sample. | en_US |
| dc.format.extent | 272877 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Banking and Finance, 36(11), 3033-3047 | en_US |
| dc.subject (關鍵詞) | Technical analysis; Order-flow imbalance; Order-book imbalance; Intraday trading; Data snooping; Japanese stock market | en_US |
| dc.title (題名) | Intraday technical analysis of individual stocks on the Tokyo Stock Exchange | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jbankfin.2012.07.006 | - |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.jbankfin.2012.07.006 | - |
