The Correlation between Bid-ask Volume and Weighted Stock Index of Taiwan Securities

Abstract

This study uses quantile regression to discuss the relationship between the bid-ask volume at market opening and the rate of returns of the weighted stock index (WSI). The average sold bid-ask volume at market opening of the previous 20 days is treated as the proxy variable to measure the “level of market capital”; the difference between the intraday buying bid-ask volume at market opening and the average bought bid-ask volume of the previous 20 days is treated as the proxy variable of “the level of buyer intention”; and the difference between the intraday buying and selling volumes at the market opening are treated as the proxy variable of “the difference between buyer and seller intention”. The research period is from January 2, 2002 to December 11, 2009, with daily data of 1975. It is shown that there is a significant and positive impact between the level of market capital, the level of buyer intention, and the difference between buyer and seller intention, with the first power of the rate of returns of the intraday WSI. There is at least one coefficient less than zero at the high-order term. The bid-ask orders at market opening can be a reference when investors analyze intraday closing prices.