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

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Author

Summary, in English

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. (C) 2015 Elsevier B.V. All rights reserved.

Publishing year

2015

Language

English

Pages

136-151

Publication/Series

Pacific-Basin Finance Journal

Volume

34

Document type

Journal article

Publisher

Elsevier

Topic

  • Business Administration

Keywords

  • Order imbalance
  • Stock returns
  • Predictability
  • Intraday
  • Panel data
  • Trading strategies

Status

Published

ISBN/ISSN/Other

  • ISSN: 0927-538X