Do order imbalances predict Chinese stock returns? New evidence from intraday data

Pacific Basin Finance Journal

Volumn 34, Issue , 2015, Pages 136-151

  Narayan, Paresh Kumar ^a   Narayan, Seema ^b   Westerlund, Joakim ^a,c  

^a DEAKIN UNIVERSITY   (Australia)

^b RMIT UNIVERSITY   (Australia)

^c LUND UNIVERSITY   (Sweden)

Author keywords

Intraday; Order imbalance; Panel data; Predictability; Stock returns; Trading strategies

Indexed keywords

EID: 84939427482     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.pacfin.2015.07.003     Document Type: Article

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