Wang, Junbo; Wu, Chunchi; Yu, Eden S. H. - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 02, pp. 1250010-1
effects of order imbalances on market liquidity, returns and volatility are stronger for two- and five-year notes and Treasury …. In this paper, we explore the liquidity dimension of order imbalances. Through our research, we find evidence which … indicates that order imbalances affect Treasury market liquidity. More importantly, order imbalances have significant effects on …