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Order imbalance and returns : evidence of lead-lag relationship

Rastogi, Nikhil; Reddy, V. N.; Kotha, Kiran Kumar - In: The IUP journal of financial risk management : IJFRM 11 (2014) 2, pp. 34-48

Persistent link: https://www.econbiz.de/10010385789

Order imbalance and returns : evidence from India

Rastogi, Nikhil; Reddy, V. N.; Kotha, Kiran Kumar - In: International journal of managerial finance : IJMF 9 (2013) 2, pp. 92-109

Persistent link: https://www.econbiz.de/10009730792

Order imbalance and returns : evidence from India

Rastogi, Nikhil; Reddy, V. N.; Kotha, Kiran Kumar - In: International journal of managerial finance : IJMF 9 (2013) 2, pp. 92-109

Persistent link: https://www.econbiz.de/10010117749

Order Imbalance and Returns : Evidence of Lead-Lag Relationship

Rastogi, Nikhil - 2015

The paper explores the lead-lag relationship between the variables of order imbalance and return in futures and spot markets. Order imbalance is defined as the difference between buyer and seller initiated trades. Using tick test, the trades have been classified as buyer and seller initiated....

Persistent link: https://www.econbiz.de/10013029724