Cointegration analysis is used to investigate the short and long run dynamics of therelationship between the export prices of the EU wheat and of other major exporters inthe world wheat market. The aim of this study is to determine whether long runrelationships existed between EU prices and its...

This Paper studies the formation of opening prices for German and French stocks, simultaneously traded in Frankfurt and Paris. We analyse theoretically the case where investors and traders based in the same country as the firm have better information on its value than foreign traders. Our model...

Based on daily prices (amtliche Kurse) we estimate effective spreads of securities traded at the Berlin Stock Exchange in 1880, 1890, 1900 and 1910. Several extensions of the Roll measure are applied. We find surprisingly tight effective spreads for the historical data, comparable with similar...