Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China

Author:

Bailey Warren,Cai Jun,Cheung Yan Leung,Wang Fenghua

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. An empirical analysis of the limit order book and the order flow in the Paris Bourse;Biais;Journal of Finance,1995

2. The behavior of stock prices around institutional trades;Chan;Journal of Finance,1995

3. Chen, G.M., Kim, K.A., Nofsinger, J., Rui, O., 2004. Behavior and performance of emerging market investors: Evidence from China, unpublished Washington State University Working paper (January).

4. Order imbalance and individual stock returns: Theory and evidence;Chordia;Journal of Financial Economics,2004

5. Commonality in liquidity;Chordia;Journal of Financial Economics,2000

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