Order imbalance and returns: evidence from India

Nikhil Rastogi (Department of Finance & Accounting, IMT Hyderabad, Hyderabad, India)
V.N. Reddy (IBS, Hyderabad, India)
Kiran Kumar Kotha (Department of Finance, NISM, Mumbai, India)

International Journal of Managerial Finance

ISSN: 1743-9132

Publication date: 29 March 2013



The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market.


The study makes use of hypothesis testing and dummy variable regression to investigate the relationship between order imbalance and returns during the period 1999‐2005, which saw definitive change in the structure of the Indian markets.


Order imbalance (buying or selling pressure) has significantly reduced post the structural reforms at the daily as well as intra‐day intervals across trade, as well as value measures of order imbalance. After controlling for the number of transactions, order imbalance and return correlations have fallen in the post‐2002 period as compared to the pre‐2002 period, at daily as well as intra‐day intervals. Further, after controlling for past high and low returns, order imbalance exhibits day of the week effect in the pre‐2002 period while no such effect is seen in the post‐2002 period.


The work brings out order imbalance and returns relationship for the Indian market, which has different structure from that of many developed, as well as developing, markets in the backdrop of changes in its own structure. This would provide a richer literature in the area of market structure and design.



Rastogi, N., Reddy, V. and Kotha, K. (2013), "Order imbalance and returns: evidence from India", International Journal of Managerial Finance, Vol. 9 No. 2, pp. 92-109. https://doi.org/10.1108/17439131311307538

Download as .RIS



Emerald Group Publishing Limited

Copyright © 2013, Emerald Group Publishing Limited

Please note you might not have access to this content

You may be able to access this content by login via Shibboleth, Open Athens or with your Emerald account.
If you would like to contact us about accessing this content, click the button and fill out the form.
To rent this content from Deepdyve, please click the button.