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Price discovery in floor and screen trading systems

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Author Info
Theissen, Erik

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 9 (2002)
Issue (Month): 4 (November)
Pages: 455-474
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Handle: RePEc:eee:empfin:v:9:y:2002:i:4:p:455-474

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Francis Breedon & Allison Holland, . "Electronic versus open outcry markets: The case of the Bund futures contract," Bank of England working papers 76, Bank of England. [Downloadable!]
  2. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
    Other versions:
  3. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July. [Downloadable!] (restricted)
  4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  5. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July. [Downloadable!] (restricted)
  6. Martens, Martin, 1998. "Price discovery in high and low volatility periods: open outcry versus electronic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 243-260, December. [Downloadable!] (restricted)
  7. Grunbichler Andreas & Longstaff Francis A. & Schwartz Eduardo S., 1994. "Electronic Screen Trading and the Transmission of Information: An Empirical Examination," Journal of Financial Intermediation, Elsevier, vol. 3(2), pages 166-187, March. [Downloadable!] (restricted)
  8. Stucki, Thomas & Wasserfallen, Walter, 1994. "Stock and option markets: the Swiss evidence," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 881-893, October. [Downloadable!] (restricted)
  9. Ding, David K. & Harris, Frederick H. deB. & Lau, Sie Ting & McInish, Thomas H., 1999. "An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 317-329, November. [Downloadable!] (restricted)
  10. Ian Domowitz, 1990. "Automated trade execution systems," Proceedings, Federal Reserve Bank of Chicago, pages 227-251.
  11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  12. Thorsten Freihube & Erik Theissen, 2001. "An Index Is An Index Is An Index?," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 53(4), pages 295-320, October. [Downloadable!]
  13. THEISSEN, Erik, 1999. "Floor versus Screen Trading : Evidence from the German Stock Market," Les Cahiers de Recherche 690, HEC Paris. [Downloadable!]
    Other versions:
  14. Paul Kofman & James T. Moser, 1995. "Spreads, information flows and transparency across trading systems," Working Paper Series, Issues in Financial Regulation 95-1, Federal Reserve Bank of Chicago.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Yiuman Tse & Paramita Bandyopadhyay, 2006. "Multi-market trading in the Eurodollar futures market," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 321-341, May. [Downloadable!] (restricted)
  2. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
  3. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007. [Downloadable!]
  4. Erik Theissen, 2003. "Organized Equity Markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies. [Downloadable!]
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