imbalance of orders

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Imbalance of orders

Used for listed equity securities. Too many market orders of one kind - to buy or to sell or limit orders to buy up or sell down, without matching orders of the opposite kind. An imbalance usually follows a dramatic event such as a takeover, research recommendation, or death of a key executive, or a government ruling that will significantly affect the company's business. If it occurs before the stock exchange opens, trading in the stock is delayed. If it occurs during the trading day, the specialist halts and then suspends trading (with floor governor's approval) until enough matching orders can be found to make an orderly market.

Imbalance of Orders

The excess of buy orders or sell orders for a given security. That is, an imbalance of orders occurs when more brokers or investors have made more orders of one type such that they cannot be matched to orders of the opposite type. Order imbalance in either direction reduces the liquidity of a security and thus specialists and market makers attempt to keep imbalance at the lowest possible level. Extreme order imbalance may result in the temporary suspension of trade.

imbalance of orders

References in periodicals archive ?
24, 2015, without a rule in effect to permit them - a move that resulted in order imbalances being resolved more slowly.
Therefore, all sample firms, with or without exposure to Lehman, should have greater bid-ask spreads, increased trading activities, higher price impacts of trade, greater levels of information asymmetry, and greater sell order imbalances on the disclosure day compared to the control period.
Additionally, bid/ask spreads and order imbalances do not explain the return pattern.
Order imbalances could take small investors unawares, and the concept of a trading halt would be nonexistent.
However, earlier studies do not report that buy and sell order imbalances are cyclical.
Demand for shares was so strong that trading stopped twice due to order imbalances - once for nearly two hours - as 3.
It is the only market to provide detailed and continuous information on order imbalances in the minutes leading to the Closing Cross, creating a level playing field for market participants.
Therefore, we test for a relation between both types of selling and intraday returns in a panel regression that controls for order imbalances and liquidity:
Order imbalances calculated from signing trades relative to quotes also predict reversals and are complementary to inventories and past returns.
It is possible to put in orders to be executed at the close of trading on any day - so-called market-on-close orders - and the New York and American stock exchanges handle them by announcing sizable order imbalances well before the close, hoping to draw in offsetting orders.
Because of order imbalances and heavy demands on the market makers, many stocks were "halted" on the opening and we base our evaluations on the behavior of these "halted" securities relative to the behavior of the continuously traded stocks.
58%, my regression results reveal that their aftermarket prices on the first trading day are primarily driven by the purchases and order imbalances of institutional investors.