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Order imbalance and stock returns: Evidence from China

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  • Shenoy, Catherine
  • Zhang, Ying Jenny
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-4PSC2CF-4/2/bcc536512938cc607717127076eb8b59
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 47 (2007)
    Issue (Month): 5 (December)
    Pages: 637-650

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    Handle: RePEc:eee:quaeco:v:47:y:2007:i:5:p:637-650

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    Web page: http://www.elsevier.com/locate/inca/620167

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    References

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    1. John Fernald & John H. Rogers, 2000. "Puzzles in the Chinese stock market," Working Paper Series WP-00-13, Federal Reserve Bank of Chicago.
    2. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
    3. Spiegel, Matthew & Subrahmanyam, Avanidhar, 1995. " On Intraday Risk Premia," Journal of Finance, American Finance Association, vol. 50(1), pages 319-39, March.
    4. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
    5. Berkman, Henk & Lee, John Byong Tek, 2002. "The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 517-530, November.
    6. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    7. Chan, Kalok & Fong, Wai-Ming, 2000. "Trade size, order imbalance, and the volatility-volume relation," Journal of Financial Economics, Elsevier, vol. 57(2), pages 247-273, August.
    8. Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
    9. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 1994. " Security Analysis and Trading Patterns When Some Investors Receive Information before Others," Journal of Finance, American Finance Association, vol. 49(5), pages 1665-98, December.
    10. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2004. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 327-341, June.
    11. Gong-meng Chen & Oliver Rui & Steven Wang, 2005. "The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 159-182, September.
    12. Lei Feng & Mark S. Seasholes, 2004. "Correlated Trading and Location," Journal of Finance, American Finance Association, vol. 59(5), pages 2117-2144, October.
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    Cited by:
    1. Wong, Woon K. & Liu, Bo & Zeng, Yong, 2009. "Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange," China Economic Review, Elsevier, vol. 20(1), pages 91-102, March.
    2. Chung, Huimin & Gao, Cheng & Lu, Jie & Mizrach, Bruce, 2013. "An empirical analysis of the Shanghai and Shenzhen limit order books," Economic Modelling, Elsevier, vol. 34(C), pages 37-41.

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