Research on stock liquidity based on trade size, order imbalance in Shanghai A-share market

MaRDI QIDQ3402691zbMATH OpenFDO

Authors Wentao Gao, Xianzhong Meng, Shao-Jun Zhang

Publication date 12 February 2010

zbMATH Keywords

buy and sell orderliquiditytrade size

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; risk measures (91G70)

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Cited in

(6)

• Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM)
• Shareholder disputes and commonality in liquidity: evidence from the equity markets in China
• Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market
• Impacts of leveraged trading and liquidity commonality on decline of stock price
• Equilibrium analysis on the capital invested by institutions and liquidity of China's stock market
• Research on liquidity and market effect based on ``buy buy buy -- an evidence from A-share market on placards

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