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Price discovery in high and low volatility periods: open outcry versus electronic trading

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

    Volume (Year): 8 (1998)
    Issue (Month): 3-4 (December)
    Pages: 243-260

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    Handle: RePEc:eee:intfin:v:8:y:1998:i:3-4:p:243-260

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    1. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-56.
    2. 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.
    3. 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.
    4. Jong, F.C.J.M. de & Nijman, T.E. & Roell, A.A., 1993. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," Discussion Paper 1993-29, Tilburg University, Center for Economic Research.
    5. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    6. Pagano, Marco & Roell, Ailsa, 1992. "Auction and dealership markets : What is the difference?," European Economic Review, Elsevier, vol. 36(2-3), pages 613-623, April.
    7. 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.
    8. 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.
    9. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    10. 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.
    11. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-34, March.
    12. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
    13. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
    14. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
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    Cited by:
    1. Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
    2. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
    3. Gavious, Arieh & Kedar-Levy, Haim, 2013. "The speed of stock price discovery," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 245-258.
    4. Marc Simpson & Jose Moreno & Teofilo Ozuna, 2012. "The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 347-365, April.
    5. Pantisa Pavabutr & Piyamas Chaihetphon, 2010. "Price discovery in the Indian gold futures market," Journal of Economics and Finance, Springer, vol. 34(4), pages 455-467, October.
    6. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
    7. Fong, Kingsley & Zurbruegg, Ralf, 2003. "How much do locals contribute to the price discovery process?," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 305-320, May.
    8. Yan, Bingcheng & Zivot, Eric, 2010. "A structural analysis of price discovery measures," Journal of Financial Markets, Elsevier, vol. 13(1), pages 1-19, February.
    9. Weiyu Kuo & Yu‐Ching Li, 2011. "Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets," International Review of Finance, International Review of Finance Ltd., vol. 11(4), pages 417-444, December.
    10. Erik Theissen, 2001. "Price Discovery in Floor and Screen Trading Systems," Bonn Econ Discussion Papers bgse35_2001, University of Bonn, Germany.
    11. 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.
    12. Owen Beelders & Jonathan Massey, 2002. "The Relationship between Spot and Futures Index Contracts after the Introduction of Electronic Trading on the Johannesburg Stock Exchange," Emory Economics 0206, Department of Economics, Emory University (Atlanta).
    13. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).
    14. Frijns, Bart & Schotman, Peter C, 2004. "Price Discovery in Tick Time," CEPR Discussion Papers 4456, C.E.P.R. Discussion Papers.
    15. Chung, Huimin & Sheu, Her-Jiun & Hsu, Shufang, 2010. "Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 742-754, October.
    16. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
    17. 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.
    18. Wang, Yun-Yi & Chang, Chiung-Chiao & Lee, Wan-Chen, 2013. "Price discovery between regular and mini index futures in the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 224-237.
    19. 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.
    20. Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July.
    21. Fung, Joseph K.W. & Lien, Donald & Tse, Yiuman & Tse, Yiu Kuen, 2005. "Effects of electronic trading on the Hang Seng Index futures market," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 415-425.

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