Order Imbalance and Daily Momentum Investing: Evidence from Taiwan

Authors

  • Chiao-Yi Chang

    Corresponding author
    1. National Taichung University of Science and Technology
      Department of Insurance and Finance, National Taichung University of Science and Technology, No. 129 Sec. 3, Sanmin Road, Taichung City 404, Taiwan, R.O.C.; Phone: +(886)4-22196145; Fax: +(886)4-22196141; E-mail: cyc@nutc.edu.tw.
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  • The author would like to thank the anonymous referees.

Department of Insurance and Finance, National Taichung University of Science and Technology, No. 129 Sec. 3, Sanmin Road, Taichung City 404, Taiwan, R.O.C.; Phone: +(886)4-22196145; Fax: +(886)4-22196141; E-mail: cyc@nutc.edu.tw.

Abstract

We propose that price-order-imbalance momentum strategies will produce outcomes that are more profitable for investors than price momentum strategies in the very short term. Adopting order imbalances information, investors themselves may employ untraded order data or exhibit herding behavior following others’ investing decisions related to order imbalance. Taiwan stock market investors have easy access to order imbalance information. This suggests that, in this emerging market, a strategy considering order imbalance may be more descriptive of investor behavior than a price momentum strategy.

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