Order imbalance, liquidity, and market returns
Data up to Jan 2025
Total Citations Per Year
Abstract
References (46)
Continuous Auctions and Insider Trading
1985 • 9,651 citations
The theory and practice of econometrics
1986 • 4,551 citations
Inferring Trade Direction from Intraday Data
1991 • 2,983 citations
The Relation Between Price Changes and Trading Volume: A Survey
1987 • 2,469 citations
Stock return variances
1986 • 1,878 citations
Do Demand Curves for Stocks Slope Down?
1986 • 1,451 citations
Market Liquidity and Trading Activity
2001 • 1,446 citations
Stock Prices and Volume
1992 • 1,388 citations
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
1978 • 1,374 citations
Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation
1994 • 1,334 citations
Day of the Week Effects and Asset Returns
1981 • 1,198 citations
Common factors in prices, order flows, and liquidity
2001 • 1,119 citations
Market microstructure: A survey
2000 • 1,054 citations
Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
1986 • 1,047 citations
Inferring Trade Direction from Intraday Data
1991 • 989 citations
Transactions, Volume, and Volatility
1994 • 888 citations
The Dynamics of Dealer Markets Under Competition
1983 • 790 citations
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
2000 • 702 citations
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
1972 • 683 citations
THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS
1978 • 648 citations
Determinants of bid-asked spreads in the over-the-counter market
1974 • 590 citations
Earnings news and small traders
1992 • 522 citations
Inferring investor behavior: Evidence from TORQ data
2000 • 512 citations
Trade size, order imbalance, and the volatility–volume relation
2000 • 417 citations
Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation
1994 • 369 citations
Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
1986 • 303 citations
Stock Returns following Large One‐Day Declines: Evidence on Short‐Term Reversals and Longer‐Term Performance
1994 • 303 citations
Do Demand Curves for Stocks Slope Down?
1986 • 299 citations
Price Reversals, Bid-Ask Spreads, and Market Efficiency
1990 • 290 citations
On the occurrence and consequences of inaccurate trade classification
2000 • 273 citations
The Supply of Dealer Services in Securities Markets
1978 • 261 citations
Order Imbalances and Stock Price Movements on October 19 and 20, 1987
1989 • 169 citations
The Dynamics of Dealer Markets Under Competition
1983 • 143 citations
Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence
1993 • 141 citations
Price Impacts of Block Trading on the New York Stock Exchange
1972 • 121 citations
The Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks
1978 • 113 citations
On Intraday Risk Premia
1995 • 99 citations
Parallel Trading by Institutional Investors
1972 • 95 citations
Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance
1994 • 70 citations
The interaction between order imbalance and stock price
1997 • 66 citations
The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: an empirical analysis
1999 • 54 citations
PRICE PRESSURE AND THE ROLE OF INSTITUTIONAL INVESTORS IN CLOSED‐END FUNDS
1997 • 49 citations
Order Imbalances and Stock Price Movements on October 19 and 20, 1987
1989 • 34 citations
On Intraday Risk Premia
1995 • 20 citations
Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence
1993 • 20 citations
Common Factors in Prices, Order Flows and Liquidity
1998 • 8 citations