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Citations for "Order Imbalance, Liquidity, and Market Returns"

by Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar

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  1. Boynton, Wentworth & Oppenheimer, Henry R. & Reid, Sean F., 2009. "Japanese day-of-the-week return patterns: New results," Global Finance Journal, Elsevier, vol. 20(1), pages 1-12.
  2. Asani Sarkar & Robert A. Schwartz, 2009. "Market Sidedness: Insights into Motives for Trade Initiation," Journal of Finance, American Finance Association, American Finance Association, vol. 64(1), pages 375-423, 02.
  3. Geoff Willis, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," Papers 1105.5503, arXiv.org.
  4. Hans Jørgen Tranvåg & Dagfinn Rime, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper Series, Department of Economics, Norwegian University of Science and Technology 12412, Department of Economics, Norwegian University of Science and Technology.
  5. Smales, Lee A., 2013. "Bond futures and order imbalance," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 26(C), pages 113-132.
  6. Utpal Bhattacharya & Craig W. Holden & Stacey Jacobsen, 2012. "Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers," Management Science, INFORMS, INFORMS, vol. 58(2), pages 413-431, February.
  7. Chung, Dennis & Hrazdil, Karel, 2010. "Liquidity and market efficiency: A large sample study," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2346-2357, October.
  8. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(3), pages 529-609, December.
  9. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 121-149.
  10. Cumming, Douglas & Johan, Sofia & Li, Dan, 2011. "Exchange trading rules and stock market liquidity," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 651-671, March.
  11. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 121, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 465-481.
  13. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(2), pages 243-263, August.
  14. Wai-Ming Fong & Giorgio Valente & Joseph K.W. Fung, 2008. "FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value," Working Papers 082008, Hong Kong Institute for Monetary Research.
  15. Fuller, Kathleen P., 2003. "The impact of informed trading on dividend signaling: a theoretical and empirical examination," Journal of Corporate Finance, Elsevier, Elsevier, vol. 9(4), pages 385-407, September.
  16. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
  17. Hu, Jianfeng, 2014. "Does option trading convey stock price information?," Journal of Financial Economics, Elsevier, Elsevier, vol. 111(3), pages 625-645.
  18. Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling, 2013. "Suppliers’ and customers’ information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3181-3191.
  19. Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(2), pages 173-182.
  20. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges.
  21. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(8), pages 1-33.
  22. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema, 2011. "Do market capitalization and stocks traded converge? New global evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2771-2781, October.
  23. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Nieto, Belén, 2003. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  24. Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013. "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 591-601.
  25. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 80(2), pages 309-349, May.
  26. Xiang, Ju & Zhu, Xiaoneng, 2014. "Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 25(C), pages 134-148.
  27. Park, Andreas & Sgroi, Daniel, 2012. "Herding, contrarianism and delay in financial market trading," European Economic Review, Elsevier, vol. 56(6), pages 1020-1037.
  28. Subrahmanyam, Avanidhar, 2008. "Lagged order flows and returns: A longer-term perspective," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 48(3), pages 623-640, August.
  29. Bruce Mizrach & Yoichi Otsubo, 2010. "The Market Microstructure of the European Climate Exchange," Departmental Working Papers, Rutgers University, Department of Economics 201005, Rutgers University, Department of Economics.
  30. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(2), pages 217-264, May.
  31. Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013. "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 25(C), pages 273-293.
  32. Felipe Zurita, 2003. "Liquidity and Financial Markets - Introduction," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 725-727.
  33. Nikolaou, Kleopatra, 2009. "Liquidity (risk) concepts: definitions and interactions," Working Paper Series, European Central Bank 1008, European Central Bank.
  34. Abul Shamsuddin & Jae H. Kim, 2010. "Short-Horizon Return Predictability in International Equity Markets," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 45(2), pages 469-484, 05.
  35. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(2), pages 196-219, March.
  36. Lei, Qin & Wu, Guojun, 2005. "Time-varying informed and uninformed trading activities," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(2), pages 153-181, May.
  37. : John A. Doukas & Constantinos Antoniou & Avanidhar Subrahmanyam, 2011. "Sentiment and Momentum," Working Papers, Warwick Business School, Finance Group wpn11-02, Warwick Business School, Finance Group.
  38. Lu, Chia-Wu & Chen, Tsung-Kang & Liao, Hsien-Hsing, 2010. "Information uncertainty, information asymmetry and corporate bond yield spreads," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2265-2279, September.
  39. He, Yan & Wu, Chunchi & Chen, Yea-Mow, 2003. "An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 12(2), pages 171-186.
  40. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
  41. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, Springer, vol. 101(1), pages 127-141, June.
  42. Nyborg, Kjell G & Östberg, Per, 2010. "Money and Liquidity in Financial Markets," CEPR Discussion Papers 7905, C.E.P.R. Discussion Papers.
  43. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 45-72, January.
  44. Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
  45. Lo, Kevin & Coggins, Richard, 2006. "Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 14(3), pages 291-310, June.
  46. Laurence Lescourret, 2012. "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session," Post-Print hal-00772798, HAL.
  47. Locke, Peter & Onayev, Zhan, 2007. "Order flow, dealer profitability, and price formation," Journal of Financial Economics, Elsevier, Elsevier, vol. 85(3), pages 857-887, September.
  48. Subrahmanyam, Avanidhar, 2009. "The implications of liquidity and order flows for neoclassical finance," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(5), pages 527-532, November.
  49. Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, Elsevier, vol. 71(3), pages 461-488, March.
  50. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(3), pages 523-541.
  51. Aktas, Nihat & de Bodt, Eric & Van Oppens, Hervé, 2008. "Legal insider trading and market efficiency," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1379-1392, July.
  52. Lynch, Andrew & Nikolic, Biljana & Yan, Xuemin (Sterling) & Yu, Han, 2014. "Aggregate short selling, commonality, and stock market returns," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 199-229.
  53. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 2004. "Feedback and the Success of Irrational Investors," Working Paper Series 2004-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  54. Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012. "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(1), pages 50-78.
  55. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University 2009:11, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  56. Bailey, Warren & Cai, Jun & Cheung, Yan Leung & Wang, Fenghua, 2009. "Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 9-19, January.
  57. Koenig-Matsoukis, Laure, 2010. "Financial intermediation and the rights offer paradox," Economics Papers from University Paris Dauphine 123456789/4430, Paris Dauphine University.
  58. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 423-446, June.
  59. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 18(3), pages 464-490, July.
  60. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2005. "Evidence on the speed of convergence to market efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(2), pages 271-292, May.
  61. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
  62. Choi, Darwin & Getmansky, Mila & Tookes, Heather, 2009. "Convertible bond arbitrage, liquidity externalities, and stock prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 91(2), pages 227-251, February.
  63. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 72(3), pages 485-518, June.
  64. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(2), pages 249-268, February.
  65. Nikhil Rastogi & V.N. Reddy & Kiran Kumar Kotha, 2013. "Order imbalance and returns: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 9(2), pages 92-109, March.
  66. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, Elsevier, vol. 38(C), pages 95-119.
  67. Chung, Huimin, 2006. "Investor protection and the liquidity of cross-listed securities: Evidence from the ADR market," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1485-1505, May.
  68. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(3), pages 249-286, August.
  69. Alessandro Girardi & Claudio Impenna, 2013. "Price discovery in the Italian sovereign bonds market: the role of order flow," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 906, Bank of Italy, Economic Research and International Relations Area.
  70. Li, Mingsheng & McCormick, Timothy & Zhao, Xin, 2005. "Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(4), pages 533-555, September.
  71. Gutierrez, Jose A. & Martinez, Valeria & Tse, Yiuman, 2009. "Where does return and volatility come from? The case of Asian ETFs," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(4), pages 671-679, October.
  72. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University 2009:10, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  73. Chai, Daniel & Faff, Robert & Gharghori, Philip, 2010. "New evidence on the relation between stock liquidity and measures of trading activity," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 181-192, June.
  74. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, Elsevier, vol. 89(3), pages 444-466, September.
  75. Schlag, Christian & Stoll, Hans, 2005. "Price impacts of options volume," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(1), pages 69-87, February.
  76. Gökhan Cebiroglu & Ulrich Horst, 2012. "Hidden Liquidity: Determinants and Impact," SFB 649 Discussion Papers SFB649DP2012-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  77. Karan Bhanot & Donald Lien & Margot Quijano, . "Will Pulling Out the Rug Help? Uncertainty about Fannie and Freddie’s Federal Guarantee and the Cost of the Subsidy," Working Papers, College of Business, University of Texas at San Antonio 0035, College of Business, University of Texas at San Antonio.
  78. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(2), pages 268-289, May.
  79. Frieder, Laura, 2008. "Investor and price response to patterns in earnings surprises," Journal of Financial Markets, Elsevier, Elsevier, vol. 11(3), pages 259-283, August.
  80. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
  81. Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang, 2008. "Weather and intraday patterns in stock returns and trading activity," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1754-1766, September.
  82. Jinliang Li & Chunchi Wu, 2006. "Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2697-2740, September.
  83. Kao, Erin H., 2011. "Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(3), pages 459-467, June.
  84. Pukthuanthong-Le, Kuntara & Visaltanachoti, Nuttawat, 2009. "Commonality in liquidity: Evidence from the Stock Exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(1), pages 80-99, January.
  85. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K., 2012. "Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2660-2671.
  86. Andersson, Jonas & Moberg, Jan-Magnus, 2007. "Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange," Discussion Papers 2007/28, Department of Business and Management Science, Norwegian School of Economics.
  87. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, Elsevier, vol. 88(2), pages 406-423, May.
  88. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  89. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics.
  90. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(2), pages 358-386, March.
  91. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
  92. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 17(5), pages 547-564, November.
  93. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
  94. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, Elsevier, vol. 13(1), pages 8-25.