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Price discovery and the international flow of information

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  • Howe, John S.
  • Ragan, Kent P.
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    File URL: http://www.sciencedirect.com/science/article/B6VGT-45BRY04-1/2/a6deb179b80858207411d3420f4f3b4e
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 12 (2002)
    Issue (Month): 3 (July)
    Pages: 201-215

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    Handle: RePEc:eee:intfin:v:12:y:2002:i:3:p:201-215

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    Web page: http://www.elsevier.com/locate/intfin

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    References

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    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.:
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    1. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
    2. Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996. "Information, trading and stock returns: Lessons from dually-listed securities," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1161-1187, August.
    3. Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 117-134, March.
    4. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    5. Chowdhry, Bhagwan & Nanda, Vikram, 1991. "Multimarket Trading and Market Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 483-511.
    6. Forster, Margaret M. & George, Thomas J., 1995. "Trading hours, information flow, and international cross-listing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 19-34.
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    Cited by:
    1. von Furstenberg, George M. & Tabora, Carlos B., 2004. "Bolsa or NYSE: price discovery for Mexican shares," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 295-311, October.
    2. Bacidore, Jeffrey M. & Battalio, Robert & Galpin, Neal & Jennings, Robert, 2005. "Sources of liquidity for NYSE-listed non-US stocks," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3075-3098, December.
    3. Chng, Michael T., 2004. "The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 463-483.
    4. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.

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