Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks

Dehua Shen, Xiao Li and Wei Zhang

Finance Research Letters, 2017, vol. 23, issue C, 210-216

Abstract: In this paper, we introduce a novel proxy for media coverage by employing the number of news appeared in Baidu News and investigate its impacts on order imbalance and large-size trade in the Chinese stock market. By dividing the trading periods into news periods (np) and no news periods (nnp), the empirical results show that (1) trading volume in the nnp is significantly larger than that in the np; (2) large-size trade in the nnp is significantly larger than that in the np; and (3) the difference of order imbalance in nnp and np is less significant compared with large-size trade. Taken together, these results suggest that there exists institutional trading in the trading periods without media coverage.

Keywords: Baidu news; Media coverage; Order imbalance; Large-size trade; Market microstructure (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:210-216

DOI: 10.1016/j.frl.2017.06.008

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