What is ‘Imbalance of Orders’
A situation when too many orders of a particular type – either buy, sell or limit – for listed securities and not enough of the other, matching orders are received by an exchange. Also referred to as “order imbalance”.
Explaining ‘Imbalance of Orders’
Shares experiencing an imbalance of orders may be temporarily halted if trading has already commenced for the day. If it occurs prior to market open, trading may be delayed. Better-than-expected earnings or other unexpected good news can result in a surge in buy orders in relation to sell orders. Likewise, unexpected negative news can bring a large sell-off.
Further Reading
- Order imbalance, liquidity, and market returns – www.sciencedirect.com [PDF]
- Order imbalance and individual stock returns: Theory and evidence – www.sciencedirect.com [PDF]
- Trade size, order imbalance, and the volatility–volume relation – www.sciencedirect.com [PDF]
- Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange – www.cambridge.org [PDF]
- Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China – www.sciencedirect.com [PDF]
- Order imbalance and stock returns: Evidence from China – www.sciencedirect.com [PDF]
- Dynamic relations between order imbalance, volatility and return of top gainers – www.tandfonline.com [PDF]
- The interaction between order imbalance and stock price – www.sciencedirect.com [PDF]
- Order imbalances explain 90% of returns of Nikkei 225 futures – www.tandfonline.com [PDF]
- Global imbalances and financial fragility – pubs.aeaweb.org [PDF]
