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

• المؤلف الرئيسي: Ekaputra, Irwan Adi
• التنسيق: مقال
• اللغة: English
• منشور في: Asian Academy of Management (AAM) 2014
• الموضوعات: HD28-70 Management. Industrial Management
• الوصول للمادة أونلاين: http://eprints.usm.my/39939/1/AAMJAF_10-1-1-G1_%281-19%29.pdf; http://eprints.usm.my/39939/; http://web.usm.my/journal/aamjaf/10-1-1-2014.html

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 l...