Girardin, Eric; Tan, Dijun; Wong, Woon K. - Hong Kong Institute for Monetary Research (HKIMR), … - 2010
This paper examines the within-market and cross-market information content of order flow for stocks, corporate bonds and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange, we find negative cross-asset effects of order flow on...