Dynamic Causality Between Intraday Return And Order Imbalance In Nasdaq Speculative Top Gainers

摘要

This study explores dynamic conditional and unconditional causality relations between intraday return and order imbalance on extraordinary events. We examine intraday behaviour of NASDAQ speculative top gainers. In this study, we employ a regression model to examine intraday return-order imbalance behaviours. Moreover, we introduce a multiple-hypotheses testing method, namely a nested causality, to identify the dynamic relationship between intraday returns and order imbalances. We find order imbalance convey more information than trading volume does. While examining three intraday time regimes, we find the contemporaneous order imbalance-return effect is significant in the third sub-period, which implies that informed trading will take place in the afternoon. The size-stratified results show there is a negative relation between firm size and the order imbalance-return effect. The impact of the trading volume on the order imbalance-return effect is weaker than that of the firm size. Moreover, the volume-stratified results suggest that order imbalance be a better return predictor in small trading volume quartile and the order imbalance-based trading strategies are useful in the afternoon regime.