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For a long time, the trading volume has been playing an important role in the stock market. Furthermore, investors usually utilize order imbalance as an indicator to earn abnormal returns. Among previous studies, Chordia and Subrahmanyzm (2004) found the positive relationship between order imbalances and stock returns. However, this relation will become insignificant as the time interval increases. In the efficient market, speculative investors find it difficult to profit only by observing the order imbalances. In this paper, the authors select the hedging stocks as the sample stocks using the criteria of stationary price, declining volume and price range. Furthermore, they examine how long within the day the effect of order imbalances on prices lasts.
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