Order imbalance, liquidity, and market returns

Author:

Chordia Tarun,Roll Richard,Subrahmanyam Avanidhar

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference31 articles.

1. Price reversals, bid–ask spreads, and market efficiency;Atkins;Journal of Financial and Quantitative Analysis,1990

2. Determinants of bid–asked spreads in the over-the-counter market;Benston;Journal of Financial Economics,1974

3. Order imbalances and stock price movements on October 19 and 20, 1987;Blume;Journal of Finance,1989

4. The interaction between order imbalance and stock price;Brown;Pacific-Basin Finance Journal,1997

5. Trade size, order imbalance, and the volatility–volume relation;Chan;Journal of Financial Economics,2000

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