Patricia Chelley-steeley

University of Birmingham

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Sentiment, Order Imbalance, and Co‐Movement: An Examination of Shocks to Retail and Institutional Trading Activity

European Financial Management, Vol. 25, Issue 1, pp. 116-159, 2019
Number of pages: 44 Posted: 30 Jan 2019
Patricia Chelley-steeley, Neophytos Lambertides and Christos S. Savva
University of Birmingham, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
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Abstract:

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co‐movement, order flow shock and sentiment, smooth transition model