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Dominant and Satellite Markets: A Study of Dually-Traded Securities

Citations

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Cited by:

  1. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
  2. Shmuel Hauser & Yael Tanchuma & Uzi Yaari, 1998. "International Transfer Of Pricing Information Between Dually Listed Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 139-157, June.
  3. Jamshed Y. Uppal, 2009. "The Role of Satellite Stock Exchanges: A Case Study of the Lahore Stock Exchange," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 14(2), pages 1-47, Jul-Dec.
  4. Sjoo, Boo & Zhang, Jianhua, 2000. "Market segmentation and information diffusion in China's stock markets," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 421-438, December.
  5. Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, June.
  6. Nicholas Taylor, 2011. "Time-varying price discovery in fragmented markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 717-734.
  7. Shmuel Hauser & Azriel Levy, 1998. "Efficiency of Price Discovery in Thinly Traded Stocks: Evidence from Dual Listings in Tel Aviv and the OTC," Multinational Finance Journal, Multinational Finance Journal, vol. 2(2), pages 133-149, June.
  8. Thomas H McInish & Bonnie F Van Ness & Robert A Van Ness, 2002. "After‐hours trading of NYSE stocks on the regional stock exchanges," Review of Financial Economics, John Wiley & Sons, vol. 11(4), pages 287-297.
  9. 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 331-351, Fall.
  10. Frijns, Bart & Zwinkels, Remco C.J., 2018. "Time-varying arbitrage and dynamic price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 485-502.
  11. Wang, Steven Shuye & Jiang, Li, 2004. "Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1273-1297, June.
  12. Sapp, Stephen G., 2002. "Price Leadership in the Spot Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(3), pages 425-448, September.
  13. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
  14. Richard Podpiera, 2001. "International Cross-Listing: The Effects of Market Fragmentation and Information Flows," CERGE-EI Working Papers wp173, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  15. Adrangi, Bahram & Chatrath, Arjun & Raffiee, Kambiz & D. Ripple, Ronald, 2001. "Alaska North Slope crude oil price and the behavior of diesel prices in California," Energy Economics, Elsevier, vol. 23(1), pages 29-42, January.
  16. Su, Qian & Chong, Terence Tai-Leung, 2007. "Determining the contributions to price discovery for Chinese cross-listed stocks," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 140-153, April.
  17. Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.
  18. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  19. Andras Lengyel & Massimo Giuliodori, 2022. "Demand Shocks for Public Debt in the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 1997-2028, October.
  20. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc.
  21. Shmuel Hauser & Azriel Levy & Uzi Yaari, 2001. "Trading frequency and the efficiency of price discovery in a non-dealer market," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 187-197.
  22. Andrew Van Buskirk, 2012. "Discussion of Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage," Journal of Accounting Research, Wiley Blackwell, vol. 50(2), pages 433-442, May.
  23. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
  24. Kate Phylaktis & Gikas Manalis, 2005. "Price transmission dynamics between informationally linked securities," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 187-201.
  25. Bahram Adrangi & Arjun Chatrath & Rohan Christie David, 2000. "Price discovery in strategically-linked markets: the case of the gold-silver spread," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 227-234.
  26. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.
  27. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  28. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
  29. Karin Niehoff, 2016. "Price Discovery in Voting and Non-Voting Stocks," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(3), pages 285-307, December.
  30. Yiuman Tse, 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 331-351, September.
  31. Vicente Medina & Angel Pardo & Roberto Pascual, 2013. "Carbon Credits: Who is the Leader of the Pack?," International Journal of Energy Economics and Policy, Econjournals, vol. 3(3), pages 210-220.
  32. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
  33. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
  34. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  35. Anna Pomeranets & Daniel G. Weaver, 2024. "Forced consolidation," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 579-601, February.
  36. He, Ling T., 1997. "Price discovery in the Hong Kong security markets: evidence from cointegration tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 157-169, July.
  37. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Price discovery in Taiwan's foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 77-93, February.
  38. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
  39. Param Silvapulle & Sisira Jayasuriya, 1994. "Testing For Philippines Rice Market Integration: A Multiple Cointegration Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 45(3), pages 369-380, September.
  40. Partha Ray & Vinodh Madhavan, 2014. "Price and Volatility Linkages between Indian Stocks and their European GDRs," Proceedings of International Academic Conferences 0300812, International Institute of Social and Economic Sciences.
  41. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
  42. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
  43. Williams, Christine H. & Bewley, Ronald A., 1993. "Price Arbitrage Between Queensland Cattle Auctions," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 37(1), pages 1-23, April.
  44. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
  45. Sanjay Sehgal & Mala Dutt, 2016. "Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 239-258, September.
  46. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
  47. Raushan Kumar, 2017. "Price Discovery in Some Primary Commodity Markets in India," Economics Bulletin, AccessEcon, vol. 37(3), pages 1817-1829.
  48. William Bertin & Paul Fowler & David Michayluk & Laurie Prather, 2010. "An analysis of Australian exchange traded options and warrants," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 150-172, April.
  49. Raymond M. Leuthold & Philip Garcia & Nabil Chaherli, 1992. "Information, Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 27-33, December.
  50. Liu, Qingfu & An, Yunbi, 2011. "Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 778-795, September.
  51. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, December.
  52. Katsuya Ito & Ryuta Sakemoto, 2020. "Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 325-342, September.
  53. Lieberman, Offer & Ben-Zion, Uri & Hauser, Shmuel, 1999. "A characterization of the price behavior of international dual stocks: an error correction approach," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 289-304, February.
  54. Thomas H. McInish & Robert A. Wood, 1996. "Competition, Fragmentation, and Market Quality," NBER Chapters, in: The Industrial Organization and Regulation of the Securities Industry, pages 63-92, National Bureau of Economic Research, Inc.
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