Search Results - subject:"order imbalance"

Revisiting Boehmer et al. (2021) : recent period, alternative method, different conclusions

Ardia, David; Aymard, Clément; Cenesizoglu, Tolga - 2024

Persistent link: https://www.econbiz.de/10014504788

Order imbalance and commonality : evidence from the options market

Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11

imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call … order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations. …Using a market model and principal component analysis, we investigate the existence of common effects in order …

Persistent link: https://www.econbiz.de/10012817765

Volatility, trading activity and maximum lot amounts : evidence from Borsa Istanbul

Gülay, Güzhan - In: Borsa Istanbul Review 22 (2022) 3, pp. 409-425

Intraday analyses of volatility-volume relation by decomposing the volume into number of trades and average trade size is measured in Borsa Istanbul equity market. Results confirm that the number of trades has more explanatory power over the short-term volatility comparably parallel with the...

Persistent link: https://www.econbiz.de/10013334755

Central bank asset purchases and lending : Impact on search frictions

Tobe, Reiko; Uno, Jun - In: Journal of financial intermediation 58 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014633728

Technological disparity and its impact on market quality

Chung, Kiseo; Kim, Seoyoung - In: Journal of empirical finance 75 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014474331

Tick size and price reversal after order imbalance

Sirnes, Espen - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-13

pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially …

Persistent link: https://www.econbiz.de/10013200344

Tick size and price reversal after order imbalance

Sirnes, Espen; Minh Thi Hong Dinh - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13

pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially …

Persistent link: https://www.econbiz.de/10012508868

Can convertible bond trading predict stock returns? : evidence from China

Chen, Zhiyu; Xu, Yun; Wang, Yu - In: Pacific-Basin finance journal 79 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014463165

Order imbalance beta and stock returns

Yang, Chunpeng; Hu, Xiaoyi - In: Applied economics 52 (2020) 56, pp. 6100-6113

Persistent link: https://www.econbiz.de/10012308455

Who and what drives informed options trading after the market opens?

Kang, Jongho; Kang, Jangkoo; Lee, Jaeram - In: The journal of futures markets 42 (2022) 3, pp. 338-364

Persistent link: https://www.econbiz.de/10012817917

1
2
3
4
5
6
7
8
9
10
Next
Last