Order imbalance and returns: evidence from India
Author
Abstract
Suggested Citation
DOI: 10.1108/17439131311307538
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
- John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends,"
Cowles Foundation Discussion Papers
858, Cowles Foundation for Research in Economics, Yale University.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- David Michayluk & Karyn Neuhauser, 2008. "Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 159-178, September.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002.
"Order imbalance, liquidity, and market returns,"
Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management qt7gh9t9w3, Anderson Graduate School of Management, UCLA.
- Brown, Philip & Walsh, David & Yuen, Andrea, 1997. "The interaction between order imbalance and stock price," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 539-557, December.
- Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
- Campbell, John Y & Shiller, Robert J, 1988. "Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
- Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
- Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 1994. "Security Analysis and Trading Patterns When Some Investors Receive Information before Others," Journal of Finance, American Finance Association, vol. 49(5), pages 1665-1698, December.
- Chan, Kalok & Fong, Wai-Ming, 2000. "Trade size, order imbalance, and the volatility-volume relation," Journal of Financial Economics, Elsevier, vol. 57(2), pages 247-273, August.
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-483, May.
- Sias, Richard W, 1997. "Price Pressure and the Role of Institutional Investors in Closed-End Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 211-229, Summer.
- Finucane, Thomas J., 2000. "A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 553-576, December.
- Giovanni Majnoni & Massimo Massa, 2001. "Stock Exchange Reforms and Market Efficiency: the Italian Experience," European Financial Management, European Financial Management Association, vol. 7(1), pages 93-116, March.
- Aitken, Michael & Frino, Alex, 1996. "The accuracy of the tick test: Evidence from the Australian stock exchange," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1715-1729, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2023. "Order book price impact in the Chinese soybean futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 606-625, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
- Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2001. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7w8106qn, Anderson Graduate School of Management, UCLA.
- Pierre Giot & Mikael Petitjean, 2009.
"Short-term market timing using the bond-equity yield ratio,"
The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
- GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & PETITJEAN, Mikael, 2009. "Short-term market timing using the bond-equity yield ratio," LIDAM Reprints CORE 2224, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010.
"Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
- John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
- Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles 9887622, Harvard University Department of Economics.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Harvard Institute of Economic Research Working Papers 2082, Harvard - Institute of Economic Research.
- GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- John Y. Campbell & Tuomo Vuolteenaho, 2004.
"Bad Beta, Good Beta,"
American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
- John Y. Campbell & Tuomo Vuolteenaho, 2002. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 1971, Harvard - Institute of Economic Research.
- Campbell, John & Vuolteenaho, Tuomo, 2004. "Bad Beta, Good Beta," Scholarly Articles 3122489, Harvard University Department of Economics.
- John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc.
- John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," Harvard Institute of Economic Research Working Papers 2016, Harvard - Institute of Economic Research.
- Graham Baird & James Dodd & Lawrence Middleton, 2020. "A growth adjusted price-earnings ratio," Papers 2001.08240, arXiv.org.
- Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, vol. 81(1), pages 101-141, July.
- Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
- Oliver D. Bunn & Robert J. Shiller, "undated".
"Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013,"
Cowles Foundation Discussion Papers
1950, Cowles Foundation for Research in Economics, Yale University.
- Oliver D. Bunn & Robert J. Shiller, 2014. "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers 20370, National Bureau of Economic Research, Inc.
- Adelina Gschwandtner & Michael Hauser, 2016.
"Profit persistence and stock returns,"
Applied Economics, Taylor & Francis Journals, vol. 48(37), pages 3538-3549, August.
- Adelina Gschwandtner & Michael Hauser, 2013. "Profit Persistence and Stock Returns," Studies in Economics 1320, School of Economics, University of Kent.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002.
"Order imbalance, liquidity, and market returns,"
Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management qt7gh9t9w3, Anderson Graduate School of Management, UCLA.
- Keith Anderson & Chris Brooks, 2005. "The Long-Term P/E Radio," ICMA Centre Discussion Papers in Finance icma-dp2005-02, Henley Business School, University of Reading.
- Jurdi, Doureige & Kim, Jae, 2019. "Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method," MPRA Paper 94028, University Library of Munich, Germany.
- Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
- Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
- Kent Wang & Jiawei Li & Shicheng Huang, 2013. "Bad beta good beta, state-space news decomposition and the cross-section of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 587-607, June.
More about this item
Keywords
India; Markets; Returns; Trade; Order imbalance; Buyer‐seller initiated; Rolling settlement; Pre‐2002; post‐2002;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:ijmfpp:v:9:y:2013:i:2:p:92-109. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.