Intraday return and order imbalance relation in NASDAQ speculative new highs

Abstract

According to previous studies, speculative trades generate positively autocorrelated returns. Therefore, we focus on speculative stocks that reach to 52-week new high records. They might be possibly with more information inside because they have kept good performance in earnings or revenues. Order imbalance (OI) is employed as a proxy of information asymmetry in this article. Relation between intraday return and OI is investigated under a time-varying framework. A contemporaneous significant positive relation exists in all kinds of interval tests, especially for 90-second and 3-minute intervals. The coefficients of lagged OIs are negative but not significant. It can be explained as asymmetric information effect. After controlling for contemporaneous OI, it shows continuation in lag-one relations in 90-second interval. In 3-minute and 15-minute interval tests, the results are mixed. Finally, the relation of contemporaneous coefficients and market capitalization is significantly negative. It implies that there is more information asymmetry in smaller firms.