The Nikkei 225 Futures of the Osaka Stock Exchange Are Bullish When the Available Liquidity on the Ask Side Is Deeper

摘要：

This paper performs regression of session returns of the Nikkei 225 Futures in the Osaka Securities Exchanges on a suitable average of the logarithmic difference of the depths at the best and the second best bid and ask prices. The results support the proverb in Japan which tells that markets are bullish (bearish) when the available liquidity on the ask side (bid side) is deeper.

关键词： stock returns market depth order imbalance market microstructure

作者: LI Meng HUI Xiaofeng ISHIMOTO Kazuo

作者单位: School of Management, Harbin Institute of Technology, Harbin, China, 150000 Graduate School of Systems & Information Engineering, University of Tsukuba, Tsukuba, Japan, 305-000

会议类型: 国际会议

会议名称: The 4th (2012) International Conference on Financial Risk and Corporate Finance Management(第四届(2012)金融风险与公司金融国际研讨会 FRCFM)

会议地点: 大连

会议语种:英文

页码: 650-654

在线出版日期: 2012-07-07（万方平台首次上网日期，不代表论文的发表时间）