Correlated Order Flow: Pervasiveness, Sources, and Pricing Effects
研究指数化、行业和整体市场力量如何驱动订单流、收益和交易成本的共同效应，发现共同效应在标普500股票中较强，在非指数股票中较弱，指数效应占主导，且关联订单流驱动收益共同效应，对分散化策略和价格形成模型有启示。
Abstract We examine the importance of indexing, industry, and broad market forces in driving common effects in order flow, returns, and trading costs. Common effects are strong for order flow and returns in a sample of S&P 500 stocks, but are weak in a sample of non-index stocks and for trading costs in both samples. Industry and broad market effects exist in order flow for both samples, but indexing effects are dominant. Correlated order flow drives common effects in returns and, to a lesser extent, those in trading costs. An event study of the effect of index addition on order flow and return comovement reinforces these conclusions. Our results show that common effects are not pervasive and have implications for diversification strategies and price formation models.