This paper examines the dynamics of returns and order imbalances across the KOSPI 200 cash, futures and option markets …. The information effect is more dominant than the liquidity effect in these markets. In addition, returns have more … predictability power for the future movements of prices than order imbalances. Information seems to be transmitted more strongly from …

upgrade improved information dissemination on the trading floor and reduced the latency in reporting trades and quotes. The …

investigate resource allocation decision and asset price dynamics under various sources of uncertainty, and to explore the micro …

events accompanied by information are followed by drift, while no-information ones result in reversals. One interpretation of …. Consistent with this hypothesis, information-based price changes are more strongly correlated with future earnings surprises than … no-information ones. Furthermore, drift exists only when the direction of the price move and of the change in analyst …

the thought that the market does not respond to new information instantaneously. This may be due to a delay in … dissemination to new price sensitive information or biases (under or over reaction) in the response of market participants to such … information. It may also be for the momentum effect related to herding in particular ‘positive feed back trading’ or â …

. Employing various proxies for asymmetric information and data from advanced and emerging bond markets, we review the evidence … that split ratings are caused by asymmetric information between firms and credit rating agencies. We then apply the debt …