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中文摘要：
Chordia and Subrahmanyam（2004）的理论分析指出，大额交易者倾向于拆分交易指令以最小化其对股价的影响，形成了指令不均衡序列正的自相关性，进而造成滞后期指令不均衡对收益率有正的影响；当同时用当期和滞后期指令不均衡解释收益率时，滞后期指令不均衡的影响变为负，当期指令不均衡的影响则为正。本文据此提出三个假设命题，运用H股样本逐一进行检验，实证研究指令不均衡与个股日收益率之间的关系。实证结果证实了在香港股市这样的指令驱动型市场上，指令不均衡同样对个股收益率具有解释能力和预测能力。
英文摘要：
The theoretical model proposed by Chordia and Subrahmanyam （2004） shows that the large traders find it optimal to split their orders over time in order to minimize the price impact of their trades, thus causing positively autocorrelated order imbalance. The autocorrelation in order imbalance further causes positive impact of lagged order imbalances on current returns. When both current and lagged order imbalances are used to explain returns simultaneously, the impact of lagged order imbalance becomes negative, while the impact of current order imbalance is positive. Based on the theoretical model, this paper proposes three hypotheses, and investigates the relationship between order imbalance and individual stock returns by testing them one by one in terms of H shares sample. The results show that the order imbalance also has power of explanation and prediction for individual stock returns in the order- driven market such as Hong Kong stock market.
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