Do order imbalances predict Chinese stock returns? New evidence from intraday data
Data(s) |
01/09/2015
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Resumo |
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. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30077576/westerlund-doorder-2015.pdf http://www.dx.doi.org/10.1016/j.pacfin.2015.07.003 |
Direitos |
2015, Elsevier |
Palavras-Chave | #Intraday #Order imbalance #Panel data #Predictability #Stock returns #Trading strategies |
Tipo |
Journal Article |