haku: @author Roll, R. / yhteensä: 28
viite: 6 / 28
Tekijä:Chordia, T.
Roll, R.
Subrahmanyam, A.
Otsikko:Order imbalance, liquidity, and market returns
Lehti:Journal of Financial Economics
2002 : JUL, VOL. 65:1, p. 111-130
Asiasana:Liquidity
Trading volumes
Financial market trading
Vapaa asiasana:Trading volume
Order imbalance
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 239037
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