Order imbalance and selling aggression under a shorting ban: Evidence from the UK

Order imbalance is one of the indicators used by traders to assess the excess of buy or sell orders for a security traded on an exchange. Order imbalance data are made transparent to market participants so as to enhance the quality of the opening and closing auction in the exchange. While order imba...

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Main Authors:	Mohammad Sifat, Imtiaz, Mohamad, Azhar
Format:	Article
Language:	English English
Published:	Elsevier 2015
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/45241/ http://irep.iium.edu.my/45241/ http://irep.iium.edu.my/45241/ http://irep.iium.edu.my/45241/1/Order_Imbalance_Selling_Aggression_-_IRFA.pdf http://irep.iium.edu.my/45241/4/ShortSellingBanContagion_JAM.pdf

id	iium-45241
recordtype	eprints
spelling	iium-452412016-05-15T23:53:05Z http://irep.iium.edu.my/45241/ Order imbalance and selling aggression under a shorting ban: Evidence from the UK Mohammad Sifat, Imtiaz Mohamad, Azhar HG4501 Stocks, investment, speculation Order imbalance is one of the indicators used by traders to assess the excess of buy or sell orders for a security traded on an exchange. Order imbalance data are made transparent to market participants so as to enhance the quality of the opening and closing auction in the exchange. While order imbalance can result from escalating volatility of security prices, traders can protect themselves by using a limit instead of a market order. The order imbalance and other market quality measures are expected to worsen when a market is experiencing heavy shorting. Based on a high-frequency intraday dataset from the London Stock Exchange from September 2008 through April 2009, our findings suggest that the order imbalance rose after the ban on short selling was enacted in the UK stock market and that selling aggression as well as other market quality measures showed no evidence of any marked improvement. Elsevier 2015-12 Article PeerReviewed application/pdf en http://irep.iium.edu.my/45241/1/Order_Imbalance_Selling_Aggression_-_IRFA.pdf application/pdf en http://irep.iium.edu.my/45241/4/ShortSellingBanContagion_JAM.pdf Mohammad Sifat, Imtiaz and Mohamad, Azhar (2015) Order imbalance and selling aggression under a shorting ban: Evidence from the UK. International Review of Financial Analysis, 42. pp. 368-379. ISSN 1057-5219 http://www.journals.elsevier.com/international-review-of-financial-analysis doi:10.1016/j.irfa.2015.09.002
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Mohammad Sifat, Imtiaz Mohamad, Azhar Order imbalance and selling aggression under a shorting ban: Evidence from the UK
description	Order imbalance is one of the indicators used by traders to assess the excess of buy or sell orders for a security traded on an exchange. Order imbalance data are made transparent to market participants so as to enhance the quality of the opening and closing auction in the exchange. While order imbalance can result from escalating volatility of security prices, traders can protect themselves by using a limit instead of a market order. The order imbalance and other market quality measures are expected to worsen when a market is experiencing heavy shorting. Based on a high-frequency intraday dataset from the London Stock Exchange from September 2008 through April 2009, our findings suggest that the order imbalance rose after the ban on short selling was enacted in the UK stock market and that selling aggression as well as other market quality measures showed no evidence of any marked improvement.
format	Article
author	Mohammad Sifat, Imtiaz Mohamad, Azhar
author_facet	Mohammad Sifat, Imtiaz Mohamad, Azhar
author_sort	Mohammad Sifat, Imtiaz
title	Order imbalance and selling aggression under a shorting ban: Evidence from the UK
title_short	Order imbalance and selling aggression under a shorting ban: Evidence from the UK
title_full	Order imbalance and selling aggression under a shorting ban: Evidence from the UK
title_fullStr	Order imbalance and selling aggression under a shorting ban: Evidence from the UK
title_full_unstemmed	Order imbalance and selling aggression under a shorting ban: Evidence from the UK
title_sort	order imbalance and selling aggression under a shorting ban: evidence from the uk
publisher	Elsevier
publishDate	2015
url	http://irep.iium.edu.my/45241/ http://irep.iium.edu.my/45241/ http://irep.iium.edu.my/45241/ http://irep.iium.edu.my/45241/1/Order_Imbalance_Selling_Aggression_-_IRFA.pdf http://irep.iium.edu.my/45241/4/ShortSellingBanContagion_JAM.pdf
first_indexed	2023-09-18T21:04:23Z
last_indexed	2023-09-18T21:04:23Z
_version_	1777410835959775232

Order imbalance and selling aggression under a shorting ban: Evidence from the UK

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