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

zbMATH Open1199.91261MaRDI QIDQ3402691FDOQ3402691

Authors: Wentao Gao, Xianzhong Meng, Shao-Jun Zhang 

Publication date: 12 February 2010

Recommendations

• Equilibrium analysis on the capital invested by institutions and liquidity of China's stock market
• Theoretical and empirical study of relationship between volume and price behavior on the view of transaction frequency
• Analysing liquidity and absorption limits of electronic markets with volume durations
• The immediate price impact of trades on the Australian Stock Exchange
• scientific article; zbMATH DE number 6453480

zbMATH Keywords

liquiditytrade sizebuy and sell order

Mathematics Subject Classification ID

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

Cited In (6)

• Equilibrium analysis on the capital invested by institutions and liquidity of China's stock market
• Impacts of leveraged trading and liquidity commonality on decline of stock price
• Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market
• 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
• Research on liquidity and market effect based on ``buy buy buy -- an evidence from A-share market on placards

This page was built for publication: Research on stock liquidity based on trade size, order imbalance in Shanghai A-share market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3402691)