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A characterization of the price behavior of international dual stocks: an error correction approach

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  • Lieberman, Offer
  • Ben-Zion, Uri
  • Hauser, Shmuel

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3W4XHMW-6/2/b87e2ecc2f48f433a969c3058540911d
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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 18 (1999)
Issue (Month): 2 (February)
Pages: 289-304

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Handle: RePEc:eee:jimfin:v:18:y:1999:i:2:p:289-304

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Web page: http://www.elsevier.com/locate/inca/30443

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References

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  1. Hauser, Shmuel & Tanchuma, Yael & Yaari, Uzi, 1998. "International Transfer of Pricing Information between Dually Listed Stocks," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 21(2), pages 139-57, Summer.
  2. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  3. Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
  4. Neumark, David & Tinsley, P A & Tosini, Suzanne, 1991. " After-Hours Stock Prices and Post-Crash Hangovers," Journal of Finance, American Finance Association, vol. 46(1), pages 159-78, March.
  5. Garbade, Kenneth D & Silber, William L, 1979. "Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk," Journal of Finance, American Finance Association, vol. 34(3), pages 577-93, June.
  6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  7. Garbade, Kenneth D & Silber, William L, 1979. "Dominant and Satellite Markets: A Study of Dually-Traded Securities," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 455-60, August.
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