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《Journal of Shanghai Jiaotong University》 2008-11
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Research on Stock Liquidity Based on Trade Size,Order Imbalance in Shanghai A-Share Market

GAO Wen-tao~1,MENG Xian-zhong~1,ZHANG Shao-jun~2(1.Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China;2.School of Management,Harbin Institute of Technology,Harbin 150001,China)  
This paper considers method to measure investors' buy and sell order imbalance and investigates the relationship among trade size,order imbalance and stock liquidity based on high frequency trading data of Shanghai A-share market in 2006.The empirical result shows that there exists significant positive relationship between trade size and stock liquidity for small trade size of mid and small-cap enterprise and for big trade size of big-cap enterprise.And for all level cap stocks,through controlling the trade size, the stock order imbalance based on the ratio of buy minus sell to total volume and the order imbalance of big trade size stock based on tick data are positive to stock liquidity significantly,the investors' preference on buy order results in the higher liquidity.There is no great relationship between order imbalance and trade size,the contemporaneous trade size does not cause the order imbalance changing,and vice versa.
【CateGory Index】: F832.51;F224
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Chinese Journal Full-text Database 1 Hits
1 XU Rui,FENG Yun,WU Chong-feng (Aetna School of Management, Shanghai Jiaotong Univ., Shanghai 200052, China);Policies and Factors Impact on Liquidity of the A-Share Market in China[J];Journal of Shanghai Jiaotong University;2004-03
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2 PENG Xiao-lin(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China);Monetary Liquidity and Market Liquidity:Volatility and Risk[J];Commercial Research;2012-10
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5 PENG Xiao-lin,GONG Yang-shu(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China);On the Effect of Monetary Liquidity on Stock Market Liquidity[J];Journal of Shanghai University of Finance and Economics;2012-05
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