Dynamic Intraday Relations between Order Imbalance, Volatility and Return of Jump Losers

Su, Yu-Cheng; Huang, Han-Ching; Chen, Yen-Tzu

doi:10.2139/ssrn.1525344

Cited by 3 publications

(2 citation statements)

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Mentioning

Contrasting

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“…Harford and Kaul (2005) document a strong concurrent relation on the US stock market for 1986 and 1996. In the 2000s, this is confirmed for special samples such as top losers or gainers by Su and Huang (2008), Su et al (2009b), Su et al (2011), andHuang et al (2012). Apart from stocks, Locke and Onayev (2007, S&P 500) and Huang and Chou (2007, Taiwan) find strong intra-day relations for index futures.…”

Section: Empirical Results On Order Imbalance Effects In Asset Returnsmentioning

confidence: 87%

“…For example, stocks with extremely negative returns show faster return reversals than other stocks do. Accordingly, Su et al (2011) and Huang et al (2012) find strong negative links at lag 1 for NASDAQ and NYSE stocks, respectively. Conversely, stocks with extremely positive returns do not show any significant imbalance-return relation.…”

Section: Empirical Results On Order Imbalance Effects In Asset Returnsmentioning

confidence: 92%

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Order flow imbalance effects on the German stock market

Hanke

Weigerding

2015

Bus Res

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Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on other markets, we control for unobserved effects using a fixed-effects panel regression. For the concurrent (or conditional) relation between order imbalance and returns, our results confirm those of the literature. For the question of return predictability from past order imbalances (unconditional relation), our results are partly confirmatory. In addition, we provide evidence for size and liquidity effects and analyze changes in imbalance effects during the financial crisis.

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