closer look at the relationship between return volatility, trade size, and order imbalance for international ETFs. Even after … controlling for order imbalance, volume as represented by number of trades in one of five trade size categories continues to have … a significant and predominantly positive impact on volatility. Both trade size and order imbalance are important …

Purpose – The purpose of this paper is to study the empirical relationship between order imbalance and returns in the … and dummy variable regression to investigate the relationship between order imbalance and returns during the period 1999 …-2005, which saw definitive change in the structure of the Indian markets. Findings – Order imbalance (buying or selling pressure …

extreme order imbalance and extreme mispricing. Also, autocorrelations of the underpricing and overpricing persist longer, in … lead–lag relationship between mispricing and order imbalance in the cash and futures markets. …

Order imbalance methodology is utilized to examine the link between trading activity and returns in the six most liquid …

Purpose – The purpose of this paper is to study the empirical relationship between order imbalance and returns in the … and dummy variable regression to investigate the relationship between order imbalance and returns during the period 1999 …‐2005, which saw definitive change in the structure of the Indian markets. Findings – Order imbalance (buying or selling pressure …

factors to national order imbalance and find that Italian order imbalance impacts the common factor innovation, French and … Belgian order imbalance impact country-specific innovations, and German order imbalance only changes yields temporarily. Order … imbalance, however, does not have explanatory power for the most important factor: benchmark yield innovations. …

national order imbalance and find that Italian order imbalance impacts the common factor innovation, French and Belgian order … imbalance impact country-specific innovations, and German order imbalance only changes yields temporarily. Order imbalance …