Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156277
Authors: 
Hanke, Michael
Weigerding, Michael
Year of Publication: 
2015
Citation: 
[Journal:] Business Research [ISSN:] 2198-2627 [Publisher:] Springer [Place:] Heidelberg [Volume:] 8 [Year:] 2015 [Issue:] 2 [Pages:] 213-238
Abstract: 
Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on other markets, we control for unobserved effects using a fixed-effects panel regression. For the concurrent (or conditional) relation between order imbalance and returns, our results confirm those of the literature. For the question of return predictability from past order imbalances (unconditional relation), our results are partly confirmatory. In addition, we provide evidence for size and liquidity effects and analyze changes in imbalance effects during the financial crisis.
Subjects: 
Order imbalance
Return predictability
Panel regression
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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