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

Narayan, Paresh Kumar; Narayan, Seema and Westerlund, Joakim LU (2015) In Pacific-Basin Finance Journal 34. p.136-151
Abstract
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.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Order imbalance, Stock returns, Predictability, Intraday, Panel data, Trading strategies
in
Pacific-Basin Finance Journal
volume
34
pages
136 - 151
publisher
Elsevier
external identifiers
  • wos:000362859300007
  • scopus:84939427482
ISSN
0927-538X
DOI
10.1016/j.pacfin.2015.07.003
language
English
LU publication?
yes
id
ef7f5b03-fc09-4f71-9af6-d06ef43dd8c7 (old id 8206067)
date added to LUP
2015-11-26 15:24:25
date last changed
2017-05-28 03:52:35
@article{ef7f5b03-fc09-4f71-9af6-d06ef43dd8c7,
  abstract     = {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.},
  author       = {Narayan, Paresh Kumar and Narayan, Seema and Westerlund, Joakim},
  issn         = {0927-538X},
  keyword      = {Order imbalance,Stock returns,Predictability,Intraday,Panel data,Trading strategies},
  language     = {eng},
  pages        = {136--151},
  publisher    = {Elsevier},
  series       = {Pacific-Basin Finance Journal},
  title        = {Do order imbalances predict Chinese stock returns? New evidence from intraday data},
  url          = {http://dx.doi.org/10.1016/j.pacfin.2015.07.003},
  volume       = {34},
  year         = {2015},
}