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

Paresh Narayan (), Seema Narayan () and Joakim Westerlund

Pacific-Basin Finance Journal, 2015, vol. 34, issue C, 136-151

Abstract: 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.

Keywords: Order imbalance; Stock returns; Predictability; Intraday; Panel data; Trading strategies (search for similar items in EconPapers)
JEL-codes: C23 G14 G17 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:34:y:2015:i:c:p:136-151

DOI: 10.1016/j.pacfin.2015.07.003

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