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Pricing Errors at the NYSE Open and Close: Evidence from Internationally Cross-Listed Stocks

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  • Forster, Margaret M.
  • George, Thomas J.
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    File URL: http://www.sciencedirect.com/science/article/B6WJD-45MGXVF-H/2/6db9b7d7f0a6238ad1261827bc8dd9ee
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Intermediation.

    Volume (Year): 5 (1996)
    Issue (Month): 2 (April)
    Pages: 95-126

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    Handle: RePEc:eee:jfinin:v:5:y:1996:i:2:p:95-126

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    Web page: http://www.elsevier.com/locate/inca/622875

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    Cited by:
    1. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
    2. George, Thomas J. & Hwang, Chuan-Yang, 1998. "Endogenous market statistics and security pricing:: An empirical investigation," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 285-319, September.
    3. Yue-cheong Chan & Louis Cheng, 2009. "Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market," Review of Quantitative Finance and Accounting, Springer, vol. 33(2), pages 159-176, August.
    4. Yamori, Nobuyoshi, 1998. "Does international trading of stocks decrease pricing errors? Evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 413-432, December.
    5. Chan, Yue-cheong, 2005. "Who trades in the stock index futures market when the underlying cash market is not trading?," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 547-561, November.
    6. Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 1998. "When an event is not an event: The curious case of an emerging market," CFS Working Paper Series 1998/12, Center for Financial Studies (CFS).
    7. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.

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