search query: @author Chordia, T. / total: 9
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| Author: | Chordia, T. Roll, R. Subrahmanyam, A. |
| Title: | Order imbalance, liquidity, and market returns |
| Journal: | Journal of Financial Economics
2002 : JUL, VOL. 65:1, p. 111-130 |
| Index terms: | Liquidity Trading volumes Financial market trading |
| Freeterms: | Trading volume Order imbalance |
| Language: | eng |
| Abstract: | The authors focus on a intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the New York Stock Exchange. Oder imbalance increases following market declines and vice cersa, which reveals that investors are contrarians on aggregate. Order imbalances in either direction, excess buy or sell orders, reduce liquidity. Market-wide returns are strongly affected by contemporaneous and lagged order imbalances. Market returns reverse themselves after high-negative-imbalance, large-negative-return days. Even after controlling for aggregate volume and liquidity, market returns are affected by order imbalance. |
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