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Price discovery in fragmented markets

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  • de Jong, F.C.J.M.

    (Tilburg University, School of Economics and Management)

  • Schotman, P.C.

Abstract

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Suggested Citation

  • de Jong, F.C.J.M. & Schotman, P.C., 2010. "Price discovery in fragmented markets," Other publications TiSEM 4650a9e7-c4cf-41cf-a771-e, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:4650a9e7-c4cf-41cf-a771-e400c56d3e0b
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    References listed on IDEAS

    as
    1. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, vol. 21(1), pages 123-142, May.
    2. Upper, Christian & Werner, Thomas, 2002. "Tail Wags Dog? Time-Varying Information Shares in the Bund Market," Discussion Paper Series 1: Economic Studies 2002,24, Deutsche Bundesbank.
    3. Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre, 2007. "Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 213-225, April.
    4. Hupperets, Erik C. J. & Menkveld, Albert J., 2002. "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York," Journal of Financial Markets, Elsevier, vol. 5(1), pages 57-82, January.
    5. Zhou, Bin, 1996. "High-Frequency Data and Volatility in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 45-52, January.
    6. 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(4), pages 563-579, December.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Competition in the market for NASDAQ securities," Journal of Financial Markets, Elsevier, vol. 11(2), pages 113-143, May.
    9. deB. Harris, Frederick H. & McInish, Thomas H. & Wood, Robert A., 2002. "Security price adjustment across exchanges: an investigation of common factor components for Dow stocks," Journal of Financial Markets, Elsevier, vol. 5(3), pages 277-308, July.
    10. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    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. Lehmann, Bruce N., 2002. "Some desiderata for the measurement of price discovery across markets," Journal of Financial Markets, Elsevier, vol. 5(3), pages 259-276, July.
    13. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
    14. Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
    15. Robert F. Dittmar, 2008. "Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?," The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 1983-2014, September.
    16. Nicholas Taylor, 2011. "Time-varying price discovery in fragmented markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 717-734.
    17. Hasbrouck, Joel, 1993. "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 191-212.
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