Order Imbalance, Liquidity, and Market Returns

By Michael G. Sher. 2003

337 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d24681865319b1e245717a351655bb36147b6a8b

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In Economics and Econometrics

Citations in the corpus

Liquidity (Risk) Concepts: Definitions and Interactions (2009, neutral): “Given this behaviour of market liquidity risk, it is possible to understand why liquidity is time varying and persistent in smooth periods (Amihud, 2002; Chordia et al., 2000,2001,2002; Pastor and Staumbaugh, 2003).”
Does Option Trading Convey Stock Price Information (2014, background): “The empirical evidence that supports this prediction exists both at the market level (Chordia, Roll, and Subrahmanyam, 2002) and in the cross section of stocks (Chordia and Subrahmanyam, 2004).”
The Divergence of Liquidity Commonality in the Cross-Section of Stocks (2007, background): “Our finding that liquidity betas are also affected by positive lagged market returns lends further support to Chordia, Roll, and Subrahmanyam (2002).”
Institutional Portfolio Flows and International Investments (2008, background): “Chordia, Roll, and Subrahmanyam (2002) , and Chordia and Subrahmanyam (2004) find evidence that order flow imbalances have forecasting power for the returns of stocks on the NYSE, and Sias (1997) finds that order flow imbalances are useful for forecasting closed-end fund price returns.”
Identifying Expensive Trades by Monitoring the Limit Order Book (2017, background): “Some authors (e.g. Chordia et al. (2002), Chordia and Subrahmanyam (2004) and Lee et al. (2004)) show that order flow imbalance can be used to predict returns.”
An Empirical Analysis of Stock and Bond Market Liquidity (2005, neutral): “6See Chordia, Roll, and Subrahmanyam (2002).”
Time-Varying Arrival Rates of Informed and Uninformed Trades (2007, background): “…of the latter include Hasbrouck (1991), Dufour and Engle (2000), Engle (2000), Engle and Russell (1998), Manganelli (2000), Engle and Lange (2001), Chordia, Roll, and Subrahmanyam (2000, 2001a, 2001b, 2002, 2005), Chordia and Subrahmanyam (2004), Hasbrouck and Seppi (2001), and Korajczyk and…”
Weather and intraday patterns in stock returns and trading activity (2008, methodology): “To control for intraday spread autocorrelation and seasonality, we follow Chordia et al. (2002) and Goetzmann and Zhu (2005) by examining the difference between the spread of the interval and the spread of the same interval on the prior trading day.”
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors (2012, background): “There are many measures of liquidity for publicly traded securities, e.g., Amihud and Mendelson (1986), Brennan, Chordia, and Subrahmanyam (1998), Chordia, Roll, and Subrahmanyam (2000, 2001, 2002), Glosten and Harris (1988), Lillo, Farmer, and Mantegna (2003), Lo, Mamaysky, and Wang (2001), Lo and…”
Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market (2005, background): “Aggregate arguments associated with liquidity restrictions directly related to the discussion above have been put forward by Ericsson and Renault (2000), Holmström and Tirole (2001), Lustig (2001), Acharya and Pedersen (2002), and Domowitz and Wang (2002).”