On the Relationship between Order Imbalance and Individual Stock Returns:Empirical Evidence from H Shares
基于Chordia和Subrahmanyam的理论模型，用H股数据检验订单不平衡对个股收益的解释和预测能力，发现香港这类订单驱动市场中订单不平衡同样有效。
The theoretical model proposed by Chordia and Subrahmanyam(2004)shows that the large traders find it optimal to split their orders over time in order to minimize the price impact of their trades,thus causing positively autocorrelated order imbalance.The autocorrelation in order imbalance further causes positive impact of lagged order imbalances on current returns.When both current and lagged order imbalances are used to explain returns simultaneously,the impact of lagged order imbalance becomes negative,while the impact of current order imbalance is positive.Based on the theoretical model,this paper proposes three hypotheses,and investigates the relationship between order imbalance and individual stock returns by testing them one by one in terms of H shares sample.The results show that the order imbalance also has power of explanation and prediction for individual stock returns in the order-driven market such as Hong Kong stock market.