Order imbalances and market efficiency: New evidence from the Chinese stock market
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DOI: 10.1016/j.ememar.2018.12.003
Abstract: Abstract This paper differentiates order imbalances based on trader categories. The daily order imbalances are highly persistent, especially for the number-measured imbalances. That the price pressure caused by imbalances cannot last beyond a trading day… read more here.
Keywords: order imbalances; stock market; evidence; market ... See more keywords
ETFs’ high overnight returns: The early liquidity provider gets the worm
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DOI: 10.1016/j.finmar.2020.100563
Abstract: Abstract I examine the extent to which exchange-traded funds’ (ETFs) unusually high overnight returns are distorted by market microstructure effects; specifically, positive order imbalances and overnight increases in bid-ask spreads. Introducing a model that isolates… read more here.
Keywords: overnight returns; early liquidity; etfs high; order imbalances ... See more keywords