Forecasting stock returns using first half an hour order imbalance

Xiaojun Chu and Jianying Qiu

International Journal of Finance & Economics, 2021, vol. 26, issue 3, 3236-3245

Abstract: We explore the predictive power of the first half‐hour order imbalance (FOIB) to stock returns in Chinese stock market. Our results show that FOIB predicts returns better than daily order imbalance both in‐sample and out‐of‐sample. The predictive power of FOIB is both statistically and economically significant. Moreover, we provide evidence that the predictive power of FOIB appears stemming from large trade size.

Date: 2021
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https://doi.org/10.1002/ijfe.1960

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