The author would like to thank the anonymous referees.
Order Imbalance and Daily Momentum Investing: Evidence from Taiwan
Article first published online: 13 SEP 2012
© 2012, The Eastern Finance Association
Volume 47, Issue 4, pages 697–718, November 2012
How to Cite
Chang, C.-Y. (2012), Order Imbalance and Daily Momentum Investing: Evidence from Taiwan. Financial Review, 47: 697–718. doi: 10.1111/j.1540-6288.2012.00343.x
- Issue published online: 13 SEP 2012
- Article first published online: 13 SEP 2012
- order imbalance;
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.