Order imbalances explain 90% of returns of Nikkei 225 futures

Autor:	Meng Li, Misao Endo, Kazuo Kishimoto, Shiwei Zuo
Rok vydání:	2010
Předmět:	Economics and Econometrics Order (exchange) Stock exchange Financial economics Economics Econometrics Explanatory power Futures contract Stock (geology)
Zdroj:	Applied Economics Letters. 17:1241-1245
ISSN:	1466-4291 1350-4851
DOI:	10.1080/00036840902881819
Popis:	This article introduces a new kind of order imbalance – limit order imbalance – in addition to the conventional order imbalance to explain the intraday stock returns. The conventional order imbalance together with our new order imbalance are shown to explain more than 90% of intraday returns of the Nikkei 225 Futures in the Osaka Stock Exchange in Japan. It is also found that a scaling by spreads substantially increases the explanatory power in thinner markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5373706fcf766c02f333689db291bc6c https://doi.org/10.1080/00036840902881819 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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