This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during Asian financial crisis using intraday data of 418 stocks traded on the Stock Exchange of Thailand (SET) from January 1996 to October 2003. The inverse relationship between the past...