Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market

DOI10.1007/S10479-018-2849-4zbMATH Open1430.91096OpenAlexW2796714261WikidataQ129983192 ScholiaQ129983192MaRDI QIDQ2288907FDOQ2288907

Authors: Yingyi Hu 

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2849-4

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zbMATH Keywords

high-frequency datamarket efficiencyemerging stock marketsorder imbalance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• Continuous Auctions and Insider Trading
• A Rational Route to Randomness
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Finite bubbles with short sale constraints and asymmetric information
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Behavioral heterogeneity in stock prices
• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• The bubble game: an experimental study of speculation

Cited In (7)

• The high-volume return premium: does it really exist in the Chinese stock market?
• Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange
• Measuring short-term risk of initial public offering of equity securities: a hybrid Bayesian and data-envelopment-analysis-based approach
• Call auction, continuous trading and closing price formation
• Does short sale restriction lower price efficiency when substitutes exist? Evidence from the Korean market
• The short-selling hypothesis of weekend effect and T + 1 trading mechanism
• Has Chinese Stock Market Become Efficient? Evidence from a New Approach

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