The paper explores the lead-lag relationship between the variables of order imbalance and return in futures and spot markets. Order imbalance is defined as the difference between buyer and seller initiated trades. Using tick test, the trades have been classified as buyer and seller initiated....

Purpose – The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market. Design/methodology/approach – The study makes use of hypothesis testing and dummy variable regression to investigate the...

Purpose – The purpose of this paper is to study the empirical relationship between order imbalance and returns in the backdrop of structural changes in the Indian market. Design/methodology/approach – The study makes use of hypothesis testing and dummy variable regression to investigate the...

This paper's aim is two-fold. First, to investigate whether regulatory intervention, to improve insider trading transparency, leads to higher information production. Second, to understand how market imperfections can distort uniform impact expected out of regulatory intervention. We use Indian...