Order imbalance

Order imbalance

Orders of one kind for a stock not offset by the opposite orders, which causes a wide spread between bid and offer prices.

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.

order imbalance

An excess of buy or sell orders such that it is impossible to match one type of order with its opposite. Order imbalances usually occur after unexpected news causes a rush to buy or sell a security. In extreme cases, an order imbalance may cause suspension of trading in a security for a limited time. Also called imbalance of orders.

Order imbalance.

An order imbalance occurs when there are substantially more buy orders in a particular security than there are sell orders, or the reverse. The result is a wide spread between bid and ask prices.

A specialist on an exchange floor might ease a minor imbalance by purchasing shares if there was not enough demand or selling shares if there was more demand than supply.

Major imbalances typically result in a suspension of trading until the situation that caused the imbalance is resolved. Either very good or very bad news about a company may trigger an imbalance.

References in periodicals archive ?
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 (1).
12, amidst trading so heavy that the stock was temporarily halted while an order imbalance was cleared.
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.