We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the...

Previous studies regard short-term reversal as compensation for liquidity risk. In this paper, we document that the reversal pattern depends on the prior realized profits that affect the risk attitude of the liquidity supplier. In the gain domain, a realized gain reduces the pain from a...