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Order book price impact in the Chinese soybean futures market

Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung Chiang

Authors

Muzhao Jin

Fearghal Kearney

Yung Chiang Yang



Abstract

We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various order flow measures, price aggregation approaches and data frequencies. We find that order flow imbalance (OFI) is a more all‐encompassing measure carrying greater information about price change relative to both trade imbalance (TI) and volume. Moreover, while both OFI and TI are shown to predict future price changes, this predictability diminishes over longer measure and price change frequency horizons.

Citation

Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Order book price impact in the Chinese soybean futures market. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2439

Journal Article Type Article
Acceptance Date Dec 20, 2020
Online Publication Date Jan 3, 2021
Deposit Date Jan 4, 2021
Publicly Available Date Jan 4, 2023
Journal International Journal of Finance and Economics
Print ISSN 1076-9307
Publisher Wiley
Peer Reviewed Peer Reviewed
DOI https://doi.org/10.1002/ijfe.2439
Keywords Futures market; Limit order book; Order flow imbalance; Price impact
Public URL https://hull-repository.worktribe.com/output/3686767
Publisher URL https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2439

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©2021 The authors. All rights reserved. No part of this publication may be reproduced without the written permission of the copyright holder






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