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

Narayan, Paresh Kumar, Narayan, Seema and Westerlund, Joakim 2015, Do order imbalances predict Chinese stock returns? New evidence from intraday data, Pacific basin finance journal, vol. 34, pp. 136-151, doi: 10.1016/j.pacfin.2015.07.003.

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Title Do order imbalances predict Chinese stock returns? New evidence from intraday data
Author(s) Narayan, Paresh Kumar
Narayan, Seema
Westerlund, Joakim
Journal name Pacific basin finance journal
Volume number 34
Start page 136
End page 151
Total pages 16
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-09-01
ISSN 0927-538X
Keyword(s) Intraday
Order imbalance
Panel data
Predictability
Stock returns
Trading strategies
Summary 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.
Language eng
DOI 10.1016/j.pacfin.2015.07.003
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30077576

Document type: Journal Article
Collections: School of Accounting, Economics and Finance
School of Economics
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Created: Mon, 07 Sep 2015, 13:56:26 EST

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