Order imbalance and stock returns: New evidence from the Chinese stock market

Ting Zhang, George J. Jiang and Wei‐Xing Zhou

Accounting and Finance, 2021, vol. 61, issue 2, 2809-2836

Abstract: We examine the relation between daily order imbalance and stock returns in the Chinese stock market. We show that lagged order imbalance significantly and negatively predicts future stock returns. In addition, the predictive relation is robust for size and turnover subsamples, but stronger for small stocks and stocks with high turnover. Finally, we show that a dynamic trading strategy based on lagged order imbalance generates positive returns with a Sharpe ratio much higher than those of passive strategies. Our results shed new light on the role of inventory effects in stock price movements in an order‐driven market.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/acfi.12684

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:61:y:2021:i:2:p:2809-2836

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().