you are trying to club the behavioural finance term = herding behaviour , with an econometric term = white noise which is not possible in any case, financial contagion is quite different term it indicates the transfer of some kind of effect from one economy to other economy. Information asymmetry is the gap of knowledge between two parties. as per best my knowledge these terms can not be used in the same sense. But unstructured information this word can be used here.
Poonam Rani: i co appreciate your comments. i need to know if you are studying about stock markets and you want to establish white noise effect, financial contagion, herding behavior and information asymmetry, does it mean that you cannot study them together?
A good starting point, if you haven't already considered it, would be Fama who wrote many papers on this. Fama has his supporters (eg Malkiel) and critics (eg Mandelbrot and the behavioural finance literature as referred to by Poonam Rani above). Building on Fama would be one approach to addressing your question. One of Fama's early papers attached for your research purposes.