Explaining turn of the year order flow imbalance
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- 作者：Patricia L. Chelley-Steeleya ; 1 ; p.l.chelley-steeley@bham.ac.uk" class="auth_mail" title="E-mail the corresponding author ; Neophytos Lambertidesb ; 2 ; n.lambertides@cut.ac.cy" class="auth_mail" title="E-mail the corresponding author ; James M. Steeleyc ; j.m.steeley@aston.ac.uk" class="auth_mail" title="E-mail the corresponding author
- 关键词：Order flow imbalance ; Risk ; Turn of the year
- 刊名：International Review of Financial Analysis
- 出版年：2016
- 出版时间：January 2016
- 年：2016
- 卷：43
- 期：Complete
- 页码：76-95
- 全文大小：1212 K
文摘
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There is a turn of the year effect in the order flow imbalances.
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December net selling pressure is reversed in January.
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Retail order flow imbalances are associated with a wide range of risk characteristics.
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Institutional order flow imbalances are associated with many fewer risk variables.