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Order imbalances and market efficiency: New evidence from the Chinese stock market
16 references·0 citing·48 second hop
Order imbalances and market efficiency: New evidence from the Chinese stock market (2018)Order imbalances and market efficiency: N…Liquidity and Market Efficiency (2007)Liquidity and Market Efficien…Order imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individua…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Herding and Feedback Trading by Institutional and Individual Investors (1999)Herding and Feedback Trading …Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994)Security Analysis and Trading…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…Herd Behavior and Investment (1988)Herd Behavior and InvestmentContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …The General Theory of Employment (1937)Network Externalities, Competition, and Compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)A Simple Model of Herd Behavior (1992)The Limits of Arbitrage (1995)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)The Behavior of Stock-Market Prices (1965)Book Review: Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Introductory Econometrics for Finance (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A test for independence based on the correlation dimension (1996)Tents, Tweets, and Events: The Interplay Between Ongoing Protests and Social Media (2015)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)A Theory of Auctions and Competitive Bidding (1982)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Market microstructure: A survey (2000)Does Algorithmic Trading Improve Liquidity? (2011)Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Liquidity Risk and Expected Stock Returns (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Investors Trade Too Much? (1999)Institutional Investors and Equity Prices (2001)Investor Psychology and Asset Pricing (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Stock market liquidity and firm value☆ (2009)Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010)The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns (2017)Asset pricing with liquidity risk (2005)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1999Herding and Feedback Trading by Institutional and Individual Investors1,587 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,506 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 2002Order imbalance, liquidity, and market returns927 cited
  • 1994Security Analysis and Trading Patterns When Some Investors Receive Information Before Others724 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 2003Order imbalance and individual stock returns: Theory and evidence571 cited

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  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
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