摘要：This paper examine the unconditional lagged return-order imbalance relation and find that either before or after the financial crisis, the correlation between returns and lagged-one order imbalance is both positive. We also show that before the financial crisis, contemporaneous order imbalances are significant and positive, while some of the coefficients of lagged-one imbalances turn to be significantly negative. After the financial crisis, however, the signs of a positive relationship between contemporaneous order imbalances and returns become weaker, but the lagged-one order balances coefficients become stronger. In GARCH model, our results are significant at 1% level, and order imbalance clearly has a higher predictive power after the financial crisis than before the financial crisis, even the market liquidity is less after the financial crisis. Although our results show that the explanatory power of order imbalance towards volatility may be greater after the financial crisis, the proportion of significantly positive or negative coefficients of order imbalances is less than we expect. We construct an imbalance-based trading strategy and find no significant positive returns before and after the financial crisis. Thus, we cannot earn positive returns by using the strategy during pre-crisis and post-crisis periods.
