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Security price adjustment across exchanges: an investigation of common factor components for Dow stocks

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Author Info
deB. Harris, Frederick H.
McInish, Thomas H.
Wood, Robert A.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VHN-45SR6MC-1/2/034d16fa96e2feb05dbe0ba41651a7ee
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 5 (2002)
Issue (Month): 3 (July)
Pages: 277-308
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Handle: RePEc:eee:finmar:v:5:y:2002:i:3:p:277-308

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  1. Kate Phylaktis & Gikas Manalis, 2005. "Price transmission dynamics between informationally linked securities," Applied Financial Economics, Taylor and Francis Journals, vol. 15(3), pages 187-201, February. [Downloadable!] (restricted)
  2. Sugato Chakravarty & Frederick H. deB. Harris & Robert A. Wood, 2002. "Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?," Econometrics 0201003, EconWPA. [Downloadable!]
    Other versions:
  3. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  4. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]
  5. 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!]
  6. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Documents de Travail 159, Banque de France. [Downloadable!]
  7. de Jong, Frank & Schotman, Peter C, 2003. "Price Discovery in Fragmented Markets," CEPR Discussion Papers 3987, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  8. Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual, 2003. "Cross-Listing, Price Discovery And The Informativeness Of The Trading Process," Working Papers. Serie EC 2003-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    Other versions:
  9. Quentin Chu & Deborah Pittman & Linda Yu, 2005. "Information Risk in TIPS Market: An Analysis of Nominal and Real Interest Rates," Review of Quantitative Finance and Accounting, Springer, vol. 24(3), pages 235-250, May. [Downloadable!] (restricted)
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