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Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks

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  • Shen, Dehua
  • Li, Xiao
  • Zhang, Wei

Abstract

In this paper, we introduce a novel proxy for media coverage by employing the number of news appeared in Baidu News and investigate its impacts on order imbalance and large-size trade in the Chinese stock market. By dividing the trading periods into news periods (np) and no news periods (nnp), the empirical results show that (1) trading volume in the nnp is significantly larger than that in the np; (2) large-size trade in the nnp is significantly larger than that in the np; and (3) the difference of order imbalance in nnp and np is less significant compared with large-size trade. Taken together, these results suggest that there exists institutional trading in the trading periods without media coverage.

Suggested Citation

  • Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
    • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:210-216
    DOI: 10.1016/j.frl.2017.06.008
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    More about this item

    Keywords

    Baidu news; Media coverage; Order imbalance; Large-size trade; Market microstructure;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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