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

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Author Info
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. 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. Erik Theissen, 2001. "Price Discovery in Floor and Screen Trading Systems," Bonn Econ Discussion Papers bgse35_2001, University of Bonn, Germany. [Downloadable!]
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  4. 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!]
  5. Erik Theissen, 2003. "Organized Equity Markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies. [Downloadable!]
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