Order imbalance and intraday price discovery: Evidence from Chinese stock markets

Review of Pacific Basin Financial Markets and Policies

Volumn 14, Issue 4, 2011, Pages 693-714

  Zhang, Zhaohui ^a   Wang, Jiamin ^a   Bremer, Ronald ^b  

^a LONG ISLAND UNIVERSITY   (United States)

^b TEXAS TECH UNIVERSITY   (United States)

Author keywords

Chinese stock markets; intraday volatility; intraday volume; order imbalance; Price discovery

Indexed keywords

PRICE DYNAMICS; STOCK MARKET; TRADE;

CHINA;

EID: 84862937771     PISSN: 02190915     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219091511500019     Document Type: Article

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