Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market

被引：9

作者：

Bissoondoyal-Bheenick, Emawtee ^{[1
]}

Brooks, Robert ^{[2
]}

Hung Xuan Do ^{[3
]}

机构：

[1] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic, Australia

[2] Monash Business Sch, Dept Econometr & Business Stat, Caulfield, Australia

[3] Massey Univ, Sch Econ & Finance, Auckland, New Zealand

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2019年 / 62卷

关键词：

Order imbalance; Realized volatility; Realized semivariances; Buyer-versus seller-initiated trades; ASX50; TRADING VOLUME; STOCK; RETURN; INFORMATION; SPILLOVERS; CRISIS; IMPACT; MODEL;

D O I：

10.1016/j.iref.2019.04.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad volatilities by using realized semivariances. We find that the effect of seller-/buyer initiated trade on bad/good volatility is asymmetric. Specifically, the effect of seller-initiated trade on bad volatility is consistently larger than that of buyer-initiated trade on good volatility. On the other hand, while seller-initiated trade has no significant effect on good volatility, buyer-initiated trade has significantly reduced the bad volatility. We conclude that the number of trades and trade volume have an impact on realized volatility, irrespective of the components of realized volatility.

引用

页码：309 / 320

页数：12

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