Huang, Han-Ching; Su, Yong-Chern; Chang, Yao-Hsuan - In: Global Journal of Business Research 8 (2014) 2, pp. 55-63
Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is...