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Order imbalance, market returns and volatility : evidence from Thailand during the Asian crisis

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This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …

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