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Price discovery and informational efficiency of international iShares funds

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  • Tse, Yiuman
  • Martinez, Valeria

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  • Tse, Yiuman & Martinez, Valeria, 2007. "Price discovery and informational efficiency of international iShares funds," Global Finance Journal, Elsevier, vol. 18(1), pages 1-15.
    • Handle: RePEc:eee:glofin:v:18:y:2007:i:1:p:1-15
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    1. Oldfield, George S, Jr & Rogalski, Richard J, 1980. "A Theory of Common Stock Returns over Trading and Non-Trading Periods," Journal of Finance, American Finance Association, vol. 35(3), pages 729-751, June.
    2. Kalok Chan & Allaudeen Hameed & Sie Ting Lau, 2003. "What if Trading Location Is Different from Business Location? Evidence from the Jardine Group," Journal of Finance, American Finance Association, vol. 58(3), pages 1221-1246, June.
    3. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    4. Terrence Hendershott & Charles M. Jones, 2005. "Island Goes Dark: Transparency, Fragmentation, and Regulation," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 743-793.
    5. Chang, Rosita P. & Fukuda, Toru & Ghon Rhee, S. & Taakano, Makoto, 1993. "Intraday and interday behavior of the TOPIX," Pacific-Basin Finance Journal, Elsevier, vol. 1(1), pages 67-95, March.
    6. Dilip Kumar Patro, 2001. "Market Segmentation And International Asset Prices: Evidence From The Listing Of World Equity Benchmark Shares," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(1), pages 83-98, March.
    7. repec:bla:jfinan:v:53:y:1998:i:2:p:673-699 is not listed on IDEAS
    8. Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, vol. 53(2), pages 189-216, August.
    9. Anita K. Pennathur & Natalya Delcoure & Dwight Anderson, 2002. "Diversification Benefits of iShares and Closed‐End Country Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(4), pages 541-557, December.
    10. Bonser-Neal, Catherine, et al, 1990. "International Investment Restrictions and Closed-End Country Fund Prices," Journal of Finance, American Finance Association, vol. 45(2), pages 523-547, June.
    11. Tse, Yiuman & Lee, Tae-Hwy & Booth, G. Geoffrey, 1996. "The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 447-465, June.
    12. Olienyk, John P. & Schwebach, Robert G. & Kenton Zumwalt, J., 1999. "WEBS, SPDRs, and country funds: an analysis of international cointegration," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 217-232, November.
    13. Hasbrouck, Joel, 1995. "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
    14. Xiaoqing Eleanor Xu & Hung–Gay Fung, 2002. "Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York," The Financial Review, Eastern Finance Association, vol. 37(4), pages 563-588, November.
    15. Pontiff, Jeffrey, 1997. "Excess Volatility and Closed-End Funds," American Economic Review, American Economic Association, vol. 87(1), pages 155-169, March.
    16. Dominic Gasbarro & Richard D. Johnson & J. Kenton Zumwalt, 2003. "Evidence on the Mean‐Reverting Tendencies of Closed‐End Fund Discounts," The Financial Review, Eastern Finance Association, vol. 38(2), pages 273-291, May.
    17. Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July.
    18. Chan, Kalok & Chan, Yue-cheong, 1993. "Price volatility in the Hong Kong stock market: a test of the information and trading noise hypothesis," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 189-201, May.
    19. Barclay, Michael J & Litzenberger, Robert H & Warner, Jerold B, 1990. "Private Information, Trading Volume, and Stock-Return Variances," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 233-253.
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