According to previous studies, speculative trades generate positively autocorrelated returns. Therefore, we focus on speculative stocks that reach to 52-week new high records. They might be possibly with more information inside because they have kept good performance in earnings or revenues. Order imbalance (OI) is employed as a proxy of information asymmetry in this article. Relation between intraday return and OI is investigated under a time-varying framework. A contemporaneous significant positive relation exists in all kinds of interval tests, especially for 90-second and 3-minute intervals. The coefficients of lagged OIs are negative but not significant. It can be explained as asymmetric information effect. After controlling for contemporaneous OI, it shows continuation in lag-one relations in 90-second interval. In 3-minute and 15-minute interval tests, the results are mixed. Finally, the relation of contemporaneous coefficients and market capitalization is significantly negative. It implies that there is more information asymmetry in smaller firms.
