Information content of order imbalance in an order-driven market: Indian Evidence

Abhinava Tripathi, Alok Dixit and Vipul,

Finance Research Letters, 2021, vol. 41, issue C

Abstract: This article examines the information content of order imbalance (OIB), using 195 most active stocks from the National Stock Exchange of India. The private information of order flow has a persistent impact on prices, and makes the short-term returns predictable. The predictability appears strong for the first five minutes, and perishes within thirty minutes. Furthermore, the information inherent in the order flow impacts the deeper levels of limit-order book, indicating the presence of informed traders beyond the best quotes. Overall, the results support the information asymmetry hypothesis for the pure order-driven market of India.

Keywords: Order imbalance; Market microstructure; Liquidity; Limit-order book; Information asymmetry; Short-term return predictability (search for similar items in EconPapers)
JEL-codes: C33 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316779

DOI: 10.1016/j.frl.2020.101863

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