Order imbalances and market efficiency: New evidence from the Chinese stock market

Ting Zhang, Gao-Feng Gu and Wei-Xing Zhou

Emerging Markets Review, 2019, vol. 38, issue C, 458-467

Abstract: This paper differentiates order imbalances based on trader categories. The daily order imbalances are highly persistent, especially for the number-measured imbalances. That the price pressure caused by imbalances cannot last beyond a trading day indicates that China's stock market is efficient enough to absorb the imbalances. We find that large individuals, small individuals and small institutions act frequently as market makers by submitting non-marketable limit orders, and the market making activities are profitable for small individuals and institutions. The evidence indicates that individuals are noise or liquidity traders, while institutions are more likely to be informed traders.

Keywords: Order imbalance; Market microstructure; Market efficiency (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:38:y:2019:i:c:p:458-467

DOI: 10.1016/j.ememar.2018.12.003

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