This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time-varying GARCH model is employed to examine...

This study investigates the convergence process toward efficiency of daily top gainers. The convergence process toward efficiency is much clearer as a result of using a GARCH(1, 1) model compared to the OLS model, and exhibits a monotonic decline as the time interval increases. The...

This paper investigates the empirical relation between order imbalance and intraday NTD/USD exchange rate dynamics. Using one-year high frequency data, we demonstrate that interbank order imbalances have substantial explanatory power for concurrent exchange rate returns both on the daily and...

Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is...

We examine the dynamic relationship between self-tender returns, volatility and order imbalances. Since market makers care more about volatilities than inventory risk, they tend to lower the bid-ask spread to mitigate volatility. This result is different from the previous argument whereby market...