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Orderimbalance, Liquidity and Market Returns · Study

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PreprintOrderimbalance, Liquidity and Market Returns

Tarun Chordia2001

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Preprintgreen2001

Orderimbalance, Liquidity and Market Returns

Tarun Chordia · Avanidhar Subrahmanyam · Richard W. Roll

195 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 1986The theory and practice of econometrics 1991Inferring Trade Direction from Intraday Data 1987The Relation Between Price Changes and Trading Volume: A Survey 2001Market Liquidity and Trading Activity 1986Do Demand Curves for Stocks Slope Down?1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

Cited by

2008Liquidity and Credit Default Swap Spreads 2010How Does Liquidity React to Stress Periods in a Limit Order Market?2007On the Economic Sources of Stock Market Volatility 2009Liquidity (Risk) Concepts: Definitions and Interactions 2011Penny Wise, Dollar Foolish: Buy–Sell Imbalances On and Around Round Numbers 2012The Capital Asset Pricing Model ( CAPM ): The History of a Failed Revolutionary Idea in Finance?

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2004Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchangearticle · 19 shared references 2002Order imbalance, liquidity, and market returnsarticle · 13 shared references 2011Liquidity Dynamics and Cross-Autocorrelationsarticle · 12 shared references 2007Liquidity, Return and Order‐Flow Linkages Between REITs and the Stock Marketarticle · 11 shared references 2003On Distinguishing between Rationales for Short-Horizon Predictability of Stock Returnspreprint · 11 shared references 2006The Cross-Section of Expected Trading Activityarticle · 10 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations195

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.261876

openalex_workW2115708895

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2008

Convertible bond arbitrage, liquidity externalities, and stock prices☆

2014Why is equity order flow so persistent?