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Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York

  • Hupperets, Erik C. J.
  • Menkveld, Albert J.

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File URL: http://www.sciencedirect.com/science/article/B6VHN-44F8101-3/2/72b9fe18b595cc803032b5efc2b54dfc
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 5 (2002)
Issue (Month): 1 (January)
Pages: 57-82

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Handle: RePEc:eee:finmar:v:5:y:2002:i:1:p:57-82
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  2. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  3. Kenneth A. Froot & Emil Dabora, 1998. "How are Stock Prices Affected by the Location of Trade?," NBER Working Papers 6572, National Bureau of Economic Research, Inc.
  4. Wen-Ling Lin & Robert F. Engle & Takatoshi Ito, 1992. "Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns," Discussion Paper Series a253, Institute of Economic Research, Hitotsubashi University.
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