the critical value x will be higher ([x.sup.2,DP] > [x.sup.1,DP]), more investors will follow the delay purchase strategy, and the order imbalance
on the ex date from these investors will be larger.
Section II defines the measurement of order imbalance
and presents our empirical findings.
They argue that an order imbalance
in response to the call announcement leads to a temporary price decline, which is followed by a price rebound.
A convenient summary statistic for this order imbalance
is the order flow ratio used by Lease, Masulis, and Page |32~.
is known to affect stock returns (Chordia, Roll, and Subrahmanyam, 2002; Chordia and Subrahmanyam, 2004).
In contrast with previous work such as Ederington and Lee (2002), these papers go beyond the simple analysis of return patterns to assess the possibility of leakage by taking into account order imbalance
as a symptom of informed trading.
"There is going to be a gigantic order imbalance
when they (markets) restart.
Chan et al (2005) also use transaction data and not only find evidence of the magnet effect on the KLSE, but also explicitly test how the magnet effect occurs through order imbalance
Nevertheless, the rumors sent Seagram's stock price up $2.62 to $40.12, amidst trading so heavy that the stock was temporarily halted while an order imbalance
Rather, it varies depending upon the time of day, order price and size, market congestion, trader type, firm size, order imbalance
, and technology used for submitting an order.
The investigations in this paper focus on the effects of quote competition on the order imbalance
. The reason to examine order imbalance
For example, Hopewell and Schwartz (1976, 1978) conclude that suspensions are (1) usually associated with a permanent change in price in response to the news and order imbalance
, and (2) suspensions allow wide price changes in the context of the specialist maintaining an orderly market.