Order imbalance, liquidity, and market returnsTarun Chordia, Richard W. Roll, Avanidhar Subrahmanyam2002-07-01articleJournal of Financial Economics914 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesFinancial Analysis and Corporate GovernanceFinancial Risk and Volatility ModelingAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 914 citations exist upstream.References1985Continuous Auctions and Insider Trading1986The theory and practice of econometrics1991Inferring Trade Direction from Intraday Data1987The Relation Between Price Changes and Trading Volume: A Survey1986Stock return variances2001Market Liquidity and Trading Activity1986Do Demand Curves for Stocks Slope Down?1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume RelationCited by2018Trading and Arbitrage in Cryptocurrency Markets2004An Empirical Analysis of Stock and Bond Market Liquidity2001Liquidity Risk and Expected Stock Returns2010Stock Market Declines and Liquidity2007Pricing the commonality across alternative measures of liquidity2003Order imbalance and individual stock returns: Theory and evidence2011Recent trends in trading activity and market quality2005Market microstructure: A survey of microfoundations, empirical results, and policy implications