文献类型：期刊文献

英文题名：Order imbalances and market efficiency: New evidence from the Chinese stock market

作者：Zhang, Ting[1,2];Gu, Gao-Feng[3];Zhou, Wei-Xing[1,3]

机构：[1]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[2]Washington State Univ, Dept Finance & Management Sci, Pullman, WA 99164 USA;[3]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China

年份：2019

卷号：38

起止页码：458

外文期刊名：EMERGING MARKETS REVIEW

收录：;WOS:【SSCI(收录号:WOS:000463302500026)】；

基金：We acknowledge financial supports from the National Natural Science Foundation of China (71671066, 71532009), the Fundamental Research Funds for the Central Universities (222201818006), and the China Scholarship Council (201706740041).

语种：英文

外文关键词：Order imbalance; Market microstructure; Market efficiency

摘要：This paper differentiates order imbalances based on trader categories. The daily order imbalances are highly persistent, especially for the number-measured imbalances. That the price pressure caused by imbalances cannot last beyond a trading day indicates that China's stock market is efficient enough to absorb the imbalances. We find that large individuals, small individuals and small institutions act frequently as market makers by submitting non-marketable limit orders, and the market making activities are profitable for small individuals and institutions. The evidence indicates that individuals are noise or liquidity traders, while institutions are more likely to be informed traders.