earticle

영어

I propose an intuitive method of measuring the characteristics of the change in volume and assessing the effect of order flow on stock price flow. The order flow has a significant impact on stock price changes. According to the results of Granger’s causality test, the change is more suitable for explanatory variables than order flow. Regression with the actual cumulative order flow based on the excess returns is significant in daily trading. The investors change the order flow on buying stocks when there is the excess returns of sector. And regressions of KOSPI 200 Index on the real cumulative order flow is also significant in daily trade only. However, there seems to be no causal relationship between cumulative order flow, the excess returns of sector and KOSPI 200 index due to time constraints on the sample.