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Order Imbalances and Market Efficiency: Evidence from a Pure Order-Driven Market

Lagan Jindal et al.

Journal of Prediction Markets2026https://doi.org/10.5750/jpm.v19i2.2235article
AJG 1
Weight
0.50

What the paper says

Using a sample of 196 stocks, this study investigates the intraday market efficiency of the National Stock Exchange of India (NSE), a market that is entirely order-driven. The return autocorrelation and variance ratio tests suggest that the hourly returns of stocks at NSE are not serially correlated. Hourly order imbalances (OIBs) are highly persistent up to four lags, and can help in return prediction. Investors appear to follow short-horizon OIBs to conduct counter-vailing trades, and remove serial dependence in short-term returns. A simple order imbalance based trading strategy appears to offer abnormal returns; however, these returns vanish once the trading costs are factored in. Overall, the results indicate that the de-facto market making at NSE is effective.

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https://doi.org/https://doi.org/10.5750/jpm.v19i2.2235

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@article{lagan2026,
  title        = {{Order Imbalances and Market Efficiency: Evidence from a Pure Order-Driven Market}},
  author       = {Lagan Jindal et al.},
  journal      = {Journal of Prediction Markets},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.5750/jpm.v19i2.2235},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.