Study on the Dynamic Impulse of Stock Market Order Flow on Return
- 10.2991/mcei-16.2016.291How to use a DOI?
- Stock market; Order flow; Return; Dynamic impulse
Studying on the dynamic impulse of stock market order flow on the return is beneficial for the investors to make accurate investment decisions. This paper use Cointegration test and Granger causality test, constructs the VAR model and select the data from October 1, 2010 to December 31, 2014, to empirically analyze the dynamic relationship between stock market order flow and return. The empirical results show that the effect of lagged first order flow on the stock return is 1.1710, and the effect of the lagged second order flow is 0.5776. The impact of the lagged first order and second orders is significant under the 1% level. The impact on the return is gradually reduced to the minimum in the third phase, and then gradually becomes larger, in the sixth phase gradually achieve smooth, and gradually disappear.
- © 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 - Xiaoliang Liu AU - Cong Luo AU - Yandan Xue AU - Mingguo Zhang AU - Lingyun Luo PY - 2016/12 DA - 2016/12 TI - Study on the Dynamic Impulse of Stock Market Order Flow on Return BT - Proceedings of the 2016 6th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2016) PB - Atlantis Press SP - 1432 EP - 1437 SN - 1951-6851 UR - https://doi.org/10.2991/mcei-16.2016.291 DO - 10.2991/mcei-16.2016.291 ID - Li2016/12 ER -