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Forecasting stock returns using first half an hour order imbalance
Author(s) -
Chu Xiaojun,
Qiu Jianying
Publication year - 2021
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.1960
Subject(s) - predictive power , economics , stock (firearms) , econometrics , stock market , order (exchange) , financial economics , sample (material) , monetary economics , finance , geography , philosophy , context (archaeology) , chemistry , archaeology , epistemology , chromatography
We explore the predictive power of the first half‐hour order imbalance ( FOIB ) to stock returns in Chinese stock market. Our results show that FOIB predicts returns better than daily order imbalance both in‐sample and out‐of‐sample. The predictive power of FOIB is both statistically and economically significant. Moreover, we provide evidence that the predictive power of FOIB appears stemming from large trade size.