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Price discovery and common factor models

  • Baillie, Richard T.
  • Geoffrey Booth, G.
  • Tse, Yiuman
  • Zabotina, Tatyana

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File URL: http://www.sciencedirect.com/science/article/B6VHN-45DFFYR-1/2/31ad34472ff2c8a3919f7998c03653f0
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 5 (2002)
Issue (Month): 3 (July)
Pages: 309-321

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Handle: RePEc:eee:finmar:v:5:y:2002:i:3:p:309-321
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. Tse, Yiuman, 2000. "Further Examination of Price Discovery on the NYSE and Regional Exchanges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 331-51, Fall.
  2. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
  3. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
  4. 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.
  5. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer.
  6. G. Geoffrey Booth & Ji-Chai Lin & Teppo Martikainen & Yiuman Tse, 2002. "Trading and Pricing in Upstairs and Downstairs Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1111-1135.
  7. 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.
  8. Martens, Martin, 1998. "Price discovery in high and low volatility periods: open outcry versus electronic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 243-260, December.
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