Intraday technical analysis of individual stocks on the Tokyo Stock Exchange

Ryuichi Yamamoto*

*この研究の対応する著者

研究成果: Article査読

21 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)3033-3047
ページ数15
ジャーナルJournal of Banking and Finance
36
11
DOI
出版ステータスPublished - 2012 11
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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