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Intraday return and volatility spill-over across international copper futures markets

Lien, Donald; Yang, Li - In: International Journal of Managerial Finance 5 (2009) February, pp. 135-149

major international copper futures markets: London Metal Exchange (LME), New York Mercantile Exchange (NYMEX), and Shanghai … transmission across the three major copper futures markets. Higher level of market integration and easy access to trading … evidence of short-run information transmission between developed and emerging copper futures markets. …

Persistent link: https://www.econbiz.de/10005047620

Intraday return and volatility spill‐over across international copper futures markets

Lien, Donald; Yang, Li - In: International Journal of Managerial Finance 5 (2009) 1, pp. 135-149

major international copper futures markets: London Metal Exchange (LME), New York Mercantile Exchange (NYMEX), and Shanghai … transmission across the three major copper futures markets. Higher level of market integration and easy access to trading … evidence of short‐run information transmission between developed and emerging copper futures markets. …

Persistent link: https://www.econbiz.de/10014785295

Short sales and price discovery of Chinese cross-listed firms

Chen, Jun; Tourani-Rad, Alireza; Yi, Ronghua - In: International Journal of Managerial Finance 12 (2016) 4, pp. 408-421

Purpose – The purpose of this paper is to investigate the impact of short selling and margin trading on the price discovery and price informativeness of cross-listed firms, using a sample of Chinese firms listed on the China and Hong Kong stock exchanges. Design/methodology/approach – The...

Persistent link: https://www.econbiz.de/10014785433

Price discovery and convergence in fragmented securities markets

Clapham, Benjamin; Zimmermann, Kai - In: International Journal of Managerial Finance 12 (2016) 4, pp. 381-407

Purpose – The purpose of this paper is to study price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. The results provide novel empirical insights questioning the generalizability of the current literature...

Persistent link: https://www.econbiz.de/10014785435

The effect of short-sale restrictions: another perspective

Le, Van - In: International Journal of Managerial Finance 12 (2016) 5, pp. 700-714

Purpose The purpose of this paper is to examine the effect of short-sale restrictions (SSR) with particular emphasis on their impact on the liquidity and informed trading in the stock and option markets. Design/methodology/approach Using a panel regression with controls for volatility, VIX and...

Persistent link: https://www.econbiz.de/10014785734