Buy-sell imbalance and the mean-variance relation

Chunpeng Yang and Yun Jia

Pacific-Basin Finance Journal, 2016, vol. 40, issue PA, 49-58

Abstract: Buy-sell imbalance is a crucial behavioral factor in the stock market. This paper emphasizes that buy-sell imbalance plays a systematic role in the market's mean-variance relation. Besides, the influence of buy-sell imbalance on the market's mean-variance relation is time-varying. As buy-sell imbalance is negative, the market's mean-variance relation is significantly negative; as buy-sell imbalance is positive, the market's mean-variance relation is insignificant. Furthermore, our analyses are robust across different conditional variance models and market portfolios with different values of stock capitalization.

Keywords: Buy-sell imbalance; Mean-variance relation; Time-varying effect; Volatility (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:40:y:2016:i:pa:p:49-58

DOI: 10.1016/j.pacfin.2016.08.007

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