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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| Format: | Article |
| Language: | English English |
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Elsevier
2015
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| Online Access: | 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 |
| _version_ | 1848782755221995520 |
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| author | Mohammad Sifat, Imtiaz Mohamad, Azhar |
| author_facet | Mohammad Sifat, Imtiaz Mohamad, Azhar |
| author_sort | Mohammad Sifat, Imtiaz |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T16:10:30Z |
| format | Article |
| id | iium-45241 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T16:10:30Z |
| publishDate | 2015 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 |
| spellingShingle | HG4501 Stocks, investment, speculation Mohammad Sifat, Imtiaz Mohamad, Azhar Order imbalance and selling aggression under a shorting ban: Evidence from the UK |
| title | 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_short | 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 |
| topic | HG4501 Stocks, investment, speculation |
| 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 |