کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
975329 | 1479856 | 2015 | 16 صفحه PDF | دانلود رایگان |
• We examine whether order imbalances can predict the Chinese stock market returns.
• We use intraday data and a panel data predictive regression model.
• Order imbalances predict stock returns from 1-minute trading to 90-minute trading.
• Trading strategies reveal that profits persist during the day.
In this paper we examine whether order imbalances can predict the Chinese stock market returns. We use intraday data, a panel data predictive regression model that accounts for persistent and endogenous order imbalances and cross-sectional dependence in returns, and show that order imbalances predict stock returns from 1-minute trading to 90-minute trading. On the basis of this predictability evidence using multiple trading strategies we show that profits persist during the day. These results imply that a source of Chinese market inefficiency is order imbalances.
Journal: Pacific-Basin Finance Journal - Volume 34, September 2015, Pages 136–151