104
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Dynamic causality between intraday return and order imbalance in NASDAQ speculative top gainers

&
Pages 1489-1499 | Published online: 01 Oct 2008

References

  • Barclay , J , Hendershott , T and McCormick , D . 2003 . Competition among trading venues: information and trading on electronic communications networks . Journal of Finance , 58 : 2637 – 66 .
  • Barclay , M and Warner , J . 1993 . Stealth trading and volatility . Journal of Financial Economics , 34 : 281 – 305 .
  • Blume , M , MacKinlay , A and Terker , B . 1989 . Order imbalances and stock price movements on October 19 and 20, 1987 . Journal of Finance , 44 : 827 – 48 .
  • Brown , P , Walsh , D and Yuen , A . 1997 . The interaction between order imbalance and stock price . Pacific-Basin Finance Journal , 5 : 539 – 57 .
  • Chan , K and Fong , W . 2000 . Trade size, order imbalance, and the volatility-volume relation . Journal of Financial Economics , 57 : 247 – 73 .
  • Chen , C and Wu , C . 1999 . The dynamics of dividends, earnings and prices: evidence and implications for dividend smoothing and signaling . Journal of Empirical Finance , 6 : 29 – 58 .
  • Chordia , T , Roll , R and Subrahmanyam , A . 2002 . Order imbalances, liquidity, and market returns . Journal of Financial Economics , 65 : 111 – 30 .
  • Chordia , T and Subrahmanyam , A . 2004 . Order imbalances and individual stock returns: theory and evidence . Journal of Financial Economics , 72 : 485 – 518 .
  • Cornell , B and Sirri , E . 1992 . The reaction of investors and stock prices to insider trading . Journal of Finance , 47 : 103l – 59 .
  • Easley , D , Kiefer , NM , O'Hara , M and Paperman , J . 1996 . Liquidity, information, and infrequently traded stocks . Journal of Finance , 51 : 1405 – 36 .
  • Ekinci , C . 2004 . A statistical analysis of intraday liquidity returns and volatility of an individual stock from the Istanbul Stock Exchange, Working Papers, No. 0305006, Aix-Marseille III University
  • Feige , EL and Pearce , DK . 1979 . The causal relationship between money and income: some caveats for time series analysis . The Review of Economics and Statistics , 61 : 521 – 53 .
  • Haugh , LD . 1976 . Checking the independence of two covariance-stationary time series: a univariate residual cross-correlation approach . Journal of the American Statistical Association , 71 : 378 – 85 .
  • Ho , T and Stoll , H . 1983 . The dynamics of dealer markets under competition . Journal of Finance , 38 : 1053 – 74 .
  • Hsiao , C . 1979 . Autoregressive modeling of Canadian money and income data . Journal of the American Statistical Association , 74 : 553 – 60 .
  • Karpoff , JM . 1987 . The relation between price changes and trading volume: a survey . Journal of Financial and Quantitative Analysis , 22 : 109 – 26 .
  • Kyle , AS . 1985 . Continuous auctions and insider trading . Econometrica , 53 : 1315 – 35 .
  • Lauterbach , B and Ben-Zion , U . 1993 . Stock market crashes and the performance of circuit breakers: empirical evidence . Journal of Finance , 48 : 1909 – 25 .
  • Lee , C . 1992 . Earnings news and small traders: an intraday analysis . Journal of Accounting and Economics , 15 : 265 – 302 .
  • Lee , C and Ready , M . 1991 . Inferring trade direction from intraday data . Journal of Finance , 46 : 733 – 47 .
  • Lee , T , Fok , R and Liu , Y . 2001 . Explaining intraday pattern of trading volume from the order flow data . Journal of Business Finance and Accounting , 28 : 199 – 230 .
  • Llorente , G , Michaely , R , Sarr , G and Wang , J . 2002 . Dynamic volume-return relation of individual stocks . The Review of Financial Studies , 15 : 1005 – 47 .
  • Lo , A and MacKinlay , C . 1990 . When are contrarian profits due to stock market overreaction . The Review of Financial Studies , 3 : 175 – 205 .
  • Madhavan , A and Smidt , S . 1993 . An analysis of changes in specialist inventories and quotations . Journal of Finance , 48 : 1595 – 628 .
  • Ronald , LG , Christine , AP and Uday , R . 2005 . Equilibrium in a dynamic limit order market . Journal of Finance , 60 : 2146 – 92 .
  • Sims , CA . 1972 . Money, income and causality . American Economic Review , 62 : 540 – 52 .
  • Spiegel , M and Subrahmanyam , A . 1995 . On intraday risk premia . Journal of Finance , 50 : 319 – 39 .
  • Stoll , H . 1978 . The supply of dealer services in securities markets . Journal of Finance , 33 : 1133 – 51 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.