Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257764 
Year of Publication: 
2021
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 9 [Issue:] 2 [Article No.:] 19 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers "overreact" to order imbalance (OIB) by initially altering quotes so much that a negative autocorrelation is seen in mid-price returns. We investigate under which circumstances this behavior is most common. Specifically, it seems the tick size augments "OIB-reversal". However, if the tick size is binding for much of the trading day, it has the opposite effect of censoring such reversals. In addition, if market liquidity is high, the reversal becomes more frequent.
Subjects: 
finance
market microstructure
OIB
order imbalance
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.