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Do order imbalances predict Chinese stock returns? New evidence from intraday data

Listed author(s):
  • Narayan, Paresh Kumar
  • Narayan, Seema
  • Westerlund, Joakim

In this paper we examine whether order imbalances can predict the Chinese stock market returns. We use intraday data, a panel data predictive regression model that accounts for persistent and endogenous order imbalances and cross-sectional dependence in returns, and show that order imbalances predict stock returns from 1-minute trading to 90-minute trading. On the basis of this predictability evidence using multiple trading strategies we show that profits persist during the day. These results imply that a source of Chinese market inefficiency is order imbalances.

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File URL: http://www.sciencedirect.com/science/article/pii/S0927538X15300056
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Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 34 (2015)
Issue (Month): C ()
Pages: 136-151

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Handle: RePEc:eee:pacfin:v:34:y:2015:i:c:p:136-151
DOI: 10.1016/j.pacfin.2015.07.003
Contact details of provider: Web page: http://www.elsevier.com/locate/pacfin

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