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Buy-sell imbalance and the mean-variance relation

Author

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  • Yang, Chunpeng
  • Jia, Yun
Abstract
Buy-sell imbalance is a crucial behavioral factor in the stock market. This paper emphasizes that buy-sell imbalance plays a systematic role in the market's mean-variance relation. Besides, the influence of buy-sell imbalance on the market's mean-variance relation is time-varying. As buy-sell imbalance is negative, the market's mean-variance relation is significantly negative; as buy-sell imbalance is positive, the market's mean-variance relation is insignificant. Furthermore, our analyses are robust across different conditional variance models and market portfolios with different values of stock capitalization.

Suggested Citation

  • Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
    • Handle: RePEc:eee:pacfin:v:40:y:2016:i:pa:p:49-58
    DOI: 10.1016/j.pacfin.2016.08.007
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    3. He, Zhifang, 2022. "Asymmetric impacts of individual investor sentiment on the time-varying risk-return relation in stock market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 177-194.

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