Q2. What is the important factor in the analysis?
The authors also performed regressions using value-weighted and equally-weighted order imbalances for all NYSE stocks, and value-weighted imbalances for NYSE stocks in the top size decile.
Q3. What is the definition of a trade excluded?
A trade is excluded if it is out of sequence, recorded before the open or after the closing time,or has special settlement conditions (because it might then be subject to distinct liquidity considerations).•
Q4. What are the characteristics of the S&P500?
Because their trading characteristics might differ from ordinary equities, assets in thefollowing categories were also expunged: certificates, ADRs, shares of beneficial interest, units, companies incorporated outside the U.S., Americus Trust components, closed-end funds, preferred stocks and REITs.
Q5. What is the important finding in the analysis?
This finding relates to the fact that the authors sign market orders in their analysis, which suggests that the excess of buy market orders over sell market orders is accommodated by the limit order book, provided specialists succeed in maintaining zero inventory levels on average.
Q6. What are the sources of the S&P500?
The transactions data sources are the Institute for the Study of Securities Markets (ISSM) and the New York Stock Exchange TAQ (trades and automated quotations).
Q7. Why was the stock deleted from the sample?
To avoid the influence of unduly high-priced stocks, if the price at any month-end during theyear was greater than $999, the stock was deleted from the sample for the year.
Q8. What was the reason the S&P500 was dropped from the sample?
If the firm changed exchanges from Nasdaq to NYSE during the year (no firms switchedfrom the NYSE to the Nasdaq during their sample period), it was dropped from the sample for that year.•
Q9. Why did the authors exclude Nasdaq stocks from the sample?
To keep the size of their sample manageable, and also because signing trades for Nasdaqstocks is problematic (see, e.g., Christie and Schultz, 1999), and also, the authors include only NYSE stocks in the calculation of aggregate order imbalance.•