Earnings Information and Order Imbalance around Periodical Reports

This paper selects the quarterly financial reports of China’s A-share non-financial listed companies, studies the relationship between order imbalance and earnings information before and after the earnings announcement with event study method. The results show that, there is a phenomenon of early leakage of earnings information on the market before earnings announcement. On and before the declaration date of earnings announcement, order imbalance and earnings information have the basic performance of significant positive correlation relationship. After the earnings announcement, it needs some time to take the earnings information into the transaction price, which shows that China’s stock market has not yet reached semi-strong efficient market level, and earnings information no longer has a significant impact on order imbalance later. We also find that, to some extent, the sequence autocorrelation of order imbalance has an impact on the relationship between earnings information and order imbalance.