The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

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

Author

  • Paresh Kumar Narayan
  • Seema Narayan
  • Joakim Westerlund

Summary, in English

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.

Department/s

  • Department of Economics

Publishing year

2015

Language

English

Pages

136-151

Publication/Series

Pacific-Basin Finance Journal

Volume

34

Document type

Journal article

Publisher

Elsevier

Topic

  • Business Administration

Keywords

  • Order imbalance
  • Stock returns
  • Predictability
  • Intraday
  • Panel data
  • Trading strategies

Status

Published

ISBN/ISSN/Other

  • ISSN: 0927-538X