Price discovery in the Hong Kong security markets: evidence from cointegration tests
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Volume (Year): 7 (1997)
Issue (Month): 2 (July)
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- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 317-355.
- Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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