Order Imbalance, Liquidity, and Market Returns

By Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam. 2002

660 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/95ecbd2538cfa315da409a68eee43af75108261e

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Citations in the corpus

Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns (2006, neutral): “However, Inoue and Kilian (2004) Clark and McCracken (2001) show that the latter two tests have the best overall power and size properties among a variety of tests proposed in the literature.”
Stock Market Declines and Liquidity (2010, positive): “Extreme aggregate imbalances in the buyer and seller-initiated orders for securities may increase the demand for liquidity as shown by Chordia et al. (2002). If high levels of aggregate order imbal ance impose similar pressure across securities, they are also likely to increase commonality in spread”
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019, background): “…offer a larger price concession to persuade the risk-averse commercial traders to absorb their demand for immediacy.26 Order imbalance: Excess order imbalance can increase the market maker’s inventory concern and reduce liquidity in the stock market (e.g., Chordia, Roll, and Subrahmanyam (2002)).”
Pricing the commonality across alternative measures of liquidity (2008, positive): “As in Chordia, Roll, and Subrahmanyam (2001, 2002), we use only BBO (best bid or offer)-eligible primary market (NYSE) quotes.”
Market Maker Inventories and Stock Prices (2006, neutral): “78 basis points, respectively, over a 5-day period.(14) For the second five day period, the average reversals are 8.”
The Impact of Trades on Daily Volatility (2006, neutral): “Details about sample selection and filtering rules for this data set can be found in Chordia, Roll, and Subrahmanyam (2000, 2002) .”
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality (2013, result): “This interesting fact for unusual high market downturns also confirms other empirical results of Chordia et al. (2001), Chordia et al. (2002) and Hameed et al. (2010) who found a highly significant bid-ask spread widening at days of or days following negative market returns.”
The Cross-Section of Expected Trading Activity (2007, methodology): “We also focus on another intuitive measure of trading activity: annual order imbalances, as estimated in Chordia, Roll, and Subrahmanyam (2002).”