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Examining intraday returns with buy/sell information

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  • Shinn-Juh Lin
  • Jian Yang

Abstract

This paper examines high frequency stock returns with buy/sell signals. It demonstrates how such trading information could be utilized in a qualitative threshold framework to explain and predict the asymmetric behaviour of intraday stock returns. The study discovers that the buyer-dominating regime is consistently associated with negative returns, while the seller-dominating regime is consistently associated with positive returns. This is consistent with a suggestion of using the sign of the net buy/sell trading volume as the threshold indicator. Furthermore, the model renders better predicting power than that produced by a pure generalized autoregressive conditional heteroscedasticity model. Most interestingly, these results are quite robust across all 12 actively traded stocks on the Australian Stock Exchange that have been examined, and hence provide strong support for the potential usefulness of buy/sell signals and the qualitative threshold model in analysing the dynamics of high frequency financial asset returns.

Suggested Citation

  • Shinn-Juh Lin & Jian Yang, 2003. "Examining intraday returns with buy/sell information," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 447-461.
    • Handle: RePEc:taf:apfiec:v:13:y:2003:i:6:p:447-461
    DOI: 10.1080/09603100210159012
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    References listed on IDEAS

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    Cited by:

    1. Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
    2. Entorf Horst & Steiner Christian, 2007. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(1), pages 3-26, February.
    3. repec:jns:jbstat:v:227:y:2007:i:1:p:3-26 is not listed on IDEAS
    4. Manuel Ammann & Stephan Markus Kessler, 2009. "Intraday characteristics of stock price crashes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1239-1255.

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