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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.
Please use this url to cite or link to this publication:
author
; and
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
2016-04-01 13:02:04
date last changed
2022-03-29 05:06:31
@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}},
  keywords     = {{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}},
  doi          = {{10.1016/j.pacfin.2015.07.003}},
  volume       = {{34}},
  year         = {{2015}},
}