文献类型：期刊文献

英文题名：Order imbalance and stock returns: New evidence from the Chinese stock market

作者：Zhang, Ting[1,2,3];Jiang, George J.[3];Zhou, Wei-Xing[2,4]

机构：[1]Hunan Univ, Business Sch, Changsha, Peoples R China;[2]East China Univ Sci & Technol, Dept Math, Shanghai, Peoples R China;[3]Washington State Univ, Dept Finance & Management Sci, Pullman, WA 99164 USA;[4]East China Univ Sci & Technol, Dept Finance, Shanghai, Peoples R China

年份：2021

卷号：61

期号：2

起止页码：2809

外文期刊名：ACCOUNTING AND FINANCE

收录：;WOS:【SSCI(收录号:WOS:000552324400001)】；

语种：英文

外文关键词：Order imbalance; Stock returns; Trading strategy

摘要：We examine the relation between daily order imbalance and stock returns in the Chinese stock market. We show that lagged order imbalance significantly and negatively predicts future stock returns. In addition, the predictive relation is robust for size and turnover subsamples, but stronger for small stocks and stocks with high turnover. Finally, we show that a dynamic trading strategy based on lagged order imbalance generates positive returns with a Sharpe ratio much higher than those of passive strategies. Our results shed new light on the role of inventory effects in stock price movements in an order-driven market.