Study on the Dynamic Impulse of Stock Market Order Flow on Return

DOI

10.2991/mcei-16.2016.291How to use a DOI?

Keywords

Stock market; Order flow; Return; Dynamic impulse

Abstract

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.

Copyright

© 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/).

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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  -