Do order imbalances predict Chinese stock returns? New evidence from intraday data
(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:
https://lup.lub.lu.se/record/8206067
- author
- Narayan, Paresh Kumar ; Narayan, Seema and Westerlund, Joakim LU
- organization
- publishing date
- 2015
- 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}}, }