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Order imbalances from after-hours trading

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  • I-Chun Tsai

Abstract

The purpose of this research is to examine the information content of order imbalances, an important variable in representing trading activity. The Taiwan Stock Exchange launched limited after-hours trading, in which investors can only trade at the closing price of the normal trading hours. Using the data set in Taiwan after-hours market, this article obtains the order imbalances through calculations using the fixed price of the orders, and could compare whose information content with that of other trading variables. The results of this study show when the prices are fixed, the trading price and volume contain less information, however, the excess demand or supply, namely, order imbalance, can provide more information.

Suggested Citation

  • I-Chun Tsai, 2010. "Order imbalances from after-hours trading," Applied Financial Economics, Taylor & Francis Journals, vol. 20(12), pages 983-987.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:12:p:983-987
    DOI: 10.1080/09603101003724315
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    References listed on IDEAS

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    1. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
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    3. McInish, Thomas H. & Van Ness, Bonnie F. & Van Ness, Robert A., 2002. "After-hours trading of NYSE stocks on the regional stock exchanges," Review of Financial Economics, Elsevier, vol. 11(4), pages 287-297.
    4. Chordia, Tarun & Subrahmanyam, Avanidhar, 2004. "Order imbalance and individual stock returns: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 72(3), pages 485-518, June.
    5. Kraus, Alan & Stoll, Hans R., 1972. "Parallel Trading by Institutional Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(5), pages 2107-2138, December.
    6. Ulibarri, Carlos A., 1998. "Is after-hours trading informative?," MPRA Paper 14818, University Library of Munich, Germany.
    7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    Cited by:

    1. Kao, Erin H., 2011. "Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 459-467, June.

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