Order Flow Imbalance Effect on Price Movement in Tehran Stock Exchange

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Seyed Salehi, Mohammad Hossein | 2021

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 54246 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Barakchian, Mahdi
Abstract:
We investigate order book events impacts on price movement, using the 31 stocks from the Tehran Stock Exchange. We show that in a low-depth market the mid-price change is explained mainly by a linear relationship with our proposed explanatory variable, modified order flow imbalance that represents the depth-adjusted differences of first level orders volumes in different sides of order book. Our results shows that the bid and ask spread has a negative effect on the power of events to move the price
Keywords:
Stock Market ; Bid-Ask Spread ; Order Flow Imbalance ; Order Book ; Tehran Stock Exchange

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