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.
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
12, amidst trading so heavy that the stock was temporarily halted while an order imbalance
In addition, there is significant negative order imbalance
(evidenced by the higher sell ratio) and negative returns for exposed firms.
To examine the order imbalance
, simple measures are created by subtracting the number or volumes of seller-initiated trades from buyer-initiated ones, expressed in percentage points.
They document three results: First, order imbalance
based on buyer- and seller-initiated small trades from the TAQ/ISSM data correlates well with the order imbalance
based on trades of individual investors from brokerage firm data.
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.
To measure short (long) sellers' demand for liquidity, we compute, similarly to Chordia and Subrahmanayam (2004), order imbalance
metrics, SHIMB (LIMB), as the difference between the buyer- and the seller-initiated short (long) volume scaled by total short (long) volume.
My regression results reveal that IPOs' open-to-close returns are positively related to small trade participation, small trade purchases, and small trade order imbalance
in the hot IPO sample, but not in the cold and neutral IPO samples.