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• W2157746809 abstract "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." @default.
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• W2157746809 date "2015-09-01" @default.
• W2157746809 modified "2023-10-10" @default.
• W2157746809 title "Do order imbalances predict Chinese stock returns? New evidence from intraday data" @default.
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• W2157746809 doi "https://doi.org/10.1016/j.pacfin.2015.07.003" @default.
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