Empirical Analysis of The Dynamic Impact of Stock Market Sectors Order Flow on Return

DOI

10.2991/mcei-16.2016.18How to use a DOI?

Keywords

Sector; Order flow; Return; Dynamic effect; VAR model

Abstract

The research on the impact of the sector order flow to the sector return is beneficial to investors who understand the inner mechanism of the stock sector rotation, and to provide decision-making basis for investors who choose stock sectors. using the VAR model, this paper empirically analyzes the influence of stock market sector order flow on the sector return, and reveals the dynamic impact process of sector order flow on sector return. The empirical results show that the sector order flow is significantly positive influence on the sector return. The impact process of sector order flow on the sector return is dynamic.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Chenggang Li
AU  - Di Wang
AU  - Min Li
AU  - Bing Yang
AU  - Kang Pan
PY  - 2016/12
DA  - 2016/12
TI  - Empirical Analysis of The Dynamic Impact of Stock Market Sectors Order Flow on Return
BT  - Proceedings of the 2016 6th International Conference on Mechatronics, Computer and Education Informationization (MCEI 2016)
PB  - Atlantis Press
SP  - 87
EP  - 92
SN  - 1951-6851
UR  - https://doi.org/10.2991/mcei-16.2016.18
DO  - 10.2991/mcei-16.2016.18
ID  - Li2016/12
ER  -