Order imbalance, liquidity, and market returns

Journal of Financial Economics

Volumn 65, Issue 1, 2002, Pages 111-130

  Chordia, Tarun ^a   Roll, Richard ^b   Subrahmanyam, Avanidhar ^b  

^a EMORY UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Liquidity; Order imbalance; Trading volume

Indexed keywords

EID: 0036335336     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(02)00136-8     Document Type: Article

References (31)

1. Price reversals, bid-ask spreads, and market efficiency
2. Determinants of bid-asked spreads in the over-the-counter market
3. Order imbalances and stock price movements on October 19 and 20, 1987
4. The interaction between order imbalance and stock price
5. Trade size, order imbalance, and the volatility-volume relation
6. Market liquidity and trading activity
7. The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: An empirical analysis
8. Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance
9. Stock prices and volume
10. Day of the week effects and asset returns
11. Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures
12. Common factors in prices, order flows and liquidity
13. Testing for linear and nonlinear Granger causality in the stock price-volume relation
14. The dynamics of dealer markets under competition
15. Transactions, volume, and volatility
16. The relation between price changes and trading volume: A survey
17. Parallel trading by institutional investors
18. Price impacts of block trading on the New York Stock Exchange
19. Continuous auctions and insider trading
20. Stock market crashes and the performance of circuit breakers: Empirical evidence
21. Earnings news and small traders: An intraday analysis
22. Inferring investor behavior: Evidence from TORQ data
23. Inferring trade direction from intraday data
24. Trading volume: Definitions, data analysis, and implications of portfolio theory
25. On the occurrence and consequences of inaccurate trade classification
26. Do demand curves for stocks slope down?
27. Price pressure and the role of institutional investors in closed-end funds
28. On intraday risk premia
29. The supply of dealer services in securities markets
30. The pricing of security dealer services: An empirical study of NASDAQ stocks