Empirical Analysis of The Dynamic Impact of Stock Market Sectors Order Flow on Return
Chenggang Li, Di Wang, Min Li, Bing Yang, Kang Pan
Available Online December 2016.
- 10.2991/mcei-16.2016.18How to use a DOI?
- Sector; Order flow; Return; Dynamic effect; VAR model
The research on the impact of the sector order flow to the sector return is beneficial to investors who understand the inner mechanism of the stock sector rotation, and to provide decision-making basis for investors who choose stock sectors. using the VAR model, this paper empirically analyzes the influence of stock market sector order flow on the sector return, and reveals the dynamic impact process of sector order flow on sector return. The empirical results show that the sector order flow is significantly positive influence on the sector return. The impact process of sector order flow on the sector return is dynamic.
- © 2017, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Chenggang Li AU - Di Wang AU - Min Li AU - Bing Yang AU - Kang Pan PY - 2016/12 DA - 2016/12 TI - Empirical Analysis of The Dynamic Impact of Stock Market Sectors Order Flow on Return BT - Proceedings of the 2016 6th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2016) PB - Atlantis Press SP - 87 EP - 92 SN - 1951-6851 UR - https://doi.org/10.2991/mcei-16.2016.18 DO - 10.2991/mcei-16.2016.18 ID - Li2016/12 ER -