Order imbalance, individual stock returns and volatility: Evidence from China

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	Order imbalance, individual stock returns and volatility: Evidence from China
	Chen, Miaoxin ; Lin, Hai ; Chen MX(陈淼鑫) ; Lin H(林海)
刊名	http://dx.doi.org/10.4156/jcit.vol7.issue2.12
	2012
关键词	Computer networks Hardware Information science
英文摘要	In this paper, we investigate the relationship between daily order imbalance and individual stock returns and volatility in Chinese stock market. The results show that contemporaneous order imbalance exerts an extremely significant impact on individual stock returns and volatility, but lagged order imbalance has no power of prediction for individual stock returns and volatility.
语种	英语
出版者	Advanced Institute of Convergence Information Technology
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90203]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Chen, Miaoxin,Lin, Hai,Chen MX,et al. Order imbalance, individual stock returns and volatility: Evidence from China[J]. http://dx.doi.org/10.4156/jcit.vol7.issue2.12,2012.
APA	Chen, Miaoxin,Lin, Hai,陈淼鑫,&林海.(2012).Order imbalance, individual stock returns and volatility: Evidence from China.http://dx.doi.org/10.4156/jcit.vol7.issue2.12.
MLA	Chen, Miaoxin,et al."Order imbalance, individual stock returns and volatility: Evidence from China".http://dx.doi.org/10.4156/jcit.vol7.issue2.12 (2012).