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Information shares in international oil futures markets

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  • Tse, Yiuman
  • Booth, G. Geoffrey

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  • Tse, Yiuman & Booth, G. Geoffrey, 1997. "Information shares in international oil futures markets," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 49-56.
    • Handle: RePEc:eee:reveco:v:6:y:1997:i:1:p:49-56
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    References listed on IDEAS

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    1. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
    2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    3. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 133-169, June.
    4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    8. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    9. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
    10. 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.
    11. 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.
    12. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    13. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
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    Cited by:

    1. Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019. "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 203-215.
    2. Iman Adeinat & Naseem Al Rahahleh & Peihwang Wei, 2018. "Did crisis alter trading of two major oil futures markets?," Review of Derivatives Research, Springer, vol. 21(1), pages 45-61, April.
    3. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Quantile information share under Markov regime‐switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 493-513, April.
    4. Yin-Wong Cheung & Hung-Gay Fung, 1997. "Information Flows Between Eurodollar Spot and Futures Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 255-271, December.

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