The Impact of Order Imbalance on Market Returns and Volatility:Evidence from Chinese Stock Market

摘要：

In this paper, we investigate the relationship between market-wide order imbalance and market returns and volatility. The results show that contemporaneous order imbalance exerts an extremely significant impact on market returns and volatility, but lagged order imbalance has no power of prediction for market returns when not accompanied by its contemporaneous counterpart, and the positive part of lagged order imbalance has no power of prediction for market volatility either.

关键词： order imbalance market returns market volatility

作者: Miaoxin Chen Rui Bao

作者单位: Finance Department, Xiamen University Xiamen, China Finance Department, Xiamen UniversityXiamen, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 371-375

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）