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- Publisher
- Taylor & Francis
- Copyright
- © 2015 Investment Analysts Society of South Africa
- ISSN
- 2077-0227
- eISSN
- 1029-3523
- DOI
- 10.1080/10293523.2015.994445
- Publisher site
- See Article on Publisher Site
Abstract
This study examines the relationship between returns and contemporaneous and lagged-order imbalances by regression analysis. Conditional on contemporaneous imbalances, a significantly negative relationship is found between lagged-one imbalances and returns, except for a 10-minute time interval. This suggests that seasoned equity offering (SEO) markets converge to efficiency within 10 minutes. In addition, a GARCH model is used to examine the dynamic relationship between volatility and order imbalances. The empirical results demonstrate that market-makers effectively mitigate volatility in SEO announcements, demonstrating a price stabilisation capability in secondary market-making.
Journal
Investment Analysts Journal – Taylor & Francis
Published: Jan 2, 2015
Keywords: market efficiency; order imbalance; seasoned equity offering; volatility