Bailey, Warren; Cai, Jun; Cheung, Yan Leung; Wang, Fenghua - In: Journal of Banking & Finance 33 (2009) 1, pp. 9-19
Using a unique dataset from the Shanghai Stock Exchange, we study the relation between daily open-to-close stock returns and order imbalances, and the commonality in order imbalances across individual, institutional, and proprietary investors. We find that institutional (proprietary) order...