Order imbalances from after-hours trading

I-Chun Tsai

Applied Financial Economics, 2010, vol. 20, issue 12, 983-987

Abstract: The purpose of this research is to examine the information content of order imbalances, an important variable in representing trading activity. The Taiwan Stock Exchange launched limited after-hours trading, in which investors can only trade at the closing price of the normal trading hours. Using the data set in Taiwan after-hours market, this article obtains the order imbalances through calculations using the fixed price of the orders, and could compare whose information content with that of other trading variables. The results of this study show when the prices are fixed, the trading price and volume contain less information, however, the excess demand or supply, namely, order imbalance, can provide more information.

Date: 2010
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DOI: 10.1080/09603101003724315

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