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Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market Bissoondoyal-Bheenick, E, Brooks, R and Do, H 2019, 'Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market', International Review Of Economics and Finance, vol. 62, pp. 309-320. Document type: Journal Article Collection: Journal Articles Title Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market Author(s) Bissoondoyal-Bheenick, E Brooks, R Do, H Year 2019 Journal name International Review Of Economics and Finance Volume number 62 Start page 309 End page 320 Total pages 12 Publisher Elsevier Abstract This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad volatilities by using realized semivariances. We find that the effect of seller-/buyer-initiated trade on bad/good volatility is asymmetric. Specifically, the effect of seller-initiated trade on bad volatility is consistently larger than that of buyer-initiated trade on good volatility. On the other hand, while seller-initiated trade has no significant effect on good volatility, buyer-initiated trade has significantly reduced the bad volatility. We conclude that the number of trades and trade volume have an impact on realized volatility, irrespective of the components of realized volatility. Subject Finance Keyword(s) Order Imbalance Realized Volatility Realized Semivariances Buyer versus Seller initiated trades ASX50 DOI - identifier 10.1016/j.iref.2019.04.009 Copyright notice © 2019 Elsevier Inc. All rights reserved. ISSN 1059-0560 Related Links Link Description https://dx.doi.org/10.1016/j.iref.2019.04.009 Link to Published Version   Versions Version Filter Type Thu, 23 May 2019, 15:05:31 EST Wed, 07 Aug 2019, 11:09:44 EST Filtered Full Citation counts:   Cited 0 times in Thomson Reuters Web of Science Article Cited 0 times in Scopus Article Altmetric details: Access Statistics: 20 Abstract Views  -  Detailed Statistics Created: Thu, 23 May 2019, 08:44:00 EST by Catalyst Administrator