Order imbalance, liquidity, and market returns

• 成果类型: Article
• 署名作者: Chordia, T; Roll, R; Subrahmanyam, A
• 署名单位: University of California System; University of California Los Angeles; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00136-8
• 发表日期: 2002
• 页码: 111-130
• 关键词: liquidity; trading volume; Order imbalance

摘要

Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance, buy orders less sell orders, on the New York Stock Exchange. Order imbalance increases following market declines and vice versa, which reveals that investors are contrarians on aggregate. Order imbalances in either direction, excess buy or sell orders, reduce liquidity. Market-wide returns are strongly affected by contemporaneous and lagged order imbalances. Market returns reverse themselves after high-negative-imbalance, large-negative-return days. Even after controlling for aggregate volume and liquidity, market returns are affected by order imbalance. (C) 2002 Published by Elsevier Science B.V.