Order Imbalance, Liquidity, and Market Returns
Order Imbalance, Liquidity, and Market Returns
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DOI：
10.2469/dig.v33.n1.1224
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发表时间：
2003-02
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影响因子：
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通讯作者：
Michael G. Sher
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文献类型：
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作者：
Michael G. Sher
传统上，交易量提供了交易活动和回报之间的联系。我们关注迄今为止尚未探索但直观的交易活动衡量标准：纽约证券交易所的每日总订单失衡。随着市场下跌（上涨）而增加（减少），这表明投资者在总体上是逆向投资者。任一方向的订单失衡，无论是过多的买单还是卖单，都会减少流动性。整个市场的回报受到同期和滞后订单失衡的强烈影响。在高负失衡、大负回报天数之后，整个市场的回报会自行逆转；这种逆转的幅度可以从不平衡和回报的水平部分预测。即使在控制了市场总量和流动性之后，市场回报也会受到订单失衡的影响。
Traditionally, volume has provided the link between trading activity and returns. We focus on a hitherto unexplored but intuitive measure of trading activity: the aggregate daily order imbalance on the New York Stock Exchange. increase (decrease) following market declines (rises), which reveals that investors are contrarians on aggregate. Order imbalances in either direction, either excess buy or sell orders, reduce liquidity. Market-wide returns are strongly affected by contemporaneous and lagged order imbalances. Market-wide returns reverse themselves after high negative imbalance, large negative return days; the magnitude of this reversal is partially predictable from the level of the imbalance and return. Even after controlling for aggregate market volume and liquidity, market returns are affected by order imbalance.