Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks

In this paper, we introduce a novel proxy for media coverage by employing the number of news appeared in Baidu News and investigate its impacts on order imbalance and large-size trade in the Chinese stock market. By dividing the trading periods into news periods (np) and no news periods (nnp), the empirical results show that (1) trading volume in the nnp is significantly larger than that in the np; (2) large-size trade in the nnp is significantly larger than that in the np; and (3) the difference of order imbalance in nnp and np is less significant compared with large-size trade. Taken together, these results suggest that there exists institutional trading in the trading periods without media coverage.