Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price adjustment across markets. Our analysis helps...

We analyze in this study investor trading behavior based not on information related assumptions but on the search model of Vayanos and Wang (2007). Our study shows that search cost dictates trading polarization across investors, firm size and time of day. We find that individual investors prefer...

Using complete intraday orders data, this paper compares strategic liquidity provision of institutions and individuals during price jumps. Consistent with risk-return trade-off models, we find evidence that liquidity provision is increasing with jump size (i.e., strategic liquidity provision)...