This paper examines the dynamics of quoted bid-ask spreads, price volatility and percentage trading volume for the most liquid interest rate futures trading on the Sydney Futures Exchange. Using data for both the overnight and intraday markets of the Sydney Futures Exchange, patterns contrast...

This paper aims to analyze the dynamics of information asymmetry in market microstructure through the Easley et al. (2002)'s PIN framework in two segments. Firstly, we test to see if factors such as size, value and illiquidity can be used to explain PIN. Secondly, we extend beyond the...

The purpose of this paper is to determine whether time weighted consensus estimates offer a more effective method for predicting company actual EPS figures than simple mean or median analysis. The study aims to construct a more comprehensive earnings forecast signal using analyst earnings...

This paper examines the impact of reporting delays in off-market trades on informed tradingand information efficiency. We examine this issue using a natural experiment in FTSE futurescontracts provided by the ICE Exchange which eliminated the ability of market participants torequest a reporting...