Impact Of Foreign And Domestic Order Imbalances On Return And Volatilityvolume Relation

Ekaputra, Irwan Adi (2014) Impact Of Foreign And Domestic Order Imbalances On Return And Volatilityvolume Relation. Asian Academy of Management Journal of Accounting and Finance, 10 (1). pp. 1-19. ISSN 1823-4992

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Abstract

Innovating from Chan and Fong (2000), this paper decomposes order imbalance into foreign and domestic order imbalances. Foreign and domestic order imbalances significantly affect the daily variation of returns in the Indonesian Market. The impact of foreign order imbalance is more pronounced in larger-cap stocks, while domestic order imbalance is more significant in smaller-cap stocks. Using both absolute residuals and realized volatility as measures of volatility, this study finds the number of trades to be the primary factor in volatility-volume relations, supporting Jones, Kaul and Lipson (1994). Consistent with previous research in more developed markets, this study also finds that absolute order imbalance does not explain realized volatility.

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions:	Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal of Accounting and Finance
Depositing User:	Mr Firdaus Mohamad
Date Deposited:	05 Apr 2018 04:33
Last Modified:	05 Apr 2018 04:33
URI:	http://eprints.usm.my/id/eprint/39939

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