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Bailey, W., Cai, J., Cheung, Y.L. and Wang, F. (2009) Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China. Journal of Banking & Finance, 33, 9-19.
https://doi.org/10.1016/j.jbankfin.2006.08.007

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