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Forecasting stock returns using first half an hour order imbalance

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  • Xiaojun Chu
  • Jianying Qiu

Abstract

We explore the predictive power of the first half‐hour order imbalance (FOIB) to stock returns in Chinese stock market. Our results show that FOIB predicts returns better than daily order imbalance both in‐sample and out‐of‐sample. The predictive power of FOIB is both statistically and economically significant. Moreover, we provide evidence that the predictive power of FOIB appears stemming from large trade size.

Suggested Citation

  • Xiaojun Chu & Jianying Qiu, 2021. "Forecasting stock returns using first half an hour order imbalance," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3236-3245, July.
    • Handle: RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3236-3245
    DOI: 10.1002/ijfe.1960
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