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Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

deB. Harris, Frederick H.; McInish, Thomas H.; … - In: Journal of Financial and Quantitative Analysis 30 (1995) 04, pp. 563-579

Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's test yields two cointegrating vectors, which together verify the...

Persistent link: https://www.econbiz.de/10005139064

Common Stock Price Volatility Measures and Patterns

Altman, Edward I.; Schwartz, Robert A. - In: Journal of Financial and Quantitative Analysis 4 (1970) 05, pp. 603-625

Persistent link: https://www.econbiz.de/10008476512

An Economic Model of Trade Credit

Schwartz, Robert A. - In: Journal of Financial and Quantitative Analysis 9 (1974) 04, pp. 643-657

Persistent link: https://www.econbiz.de/10008476522

Comment: Assessing the Impact of Stock Exchange Specialists on Stock Volatility

Schwartz, Robert A.; Whitcomb, David K. - In: Journal of Financial and Quantitative Analysis 11 (1976) 05, pp. 901-908

Persistent link: https://www.econbiz.de/10008476765

Abstract: Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

Schwartz, Robert A.; Whitcomb, David K. - In: Journal of Financial and Quantitative Analysis 11 (1976) 04, pp. 639-639

Persistent link: https://www.econbiz.de/10008476932

Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals

Schwartz, Robert A.; Whitcomb, David K. - In: Journal of Financial and Quantitative Analysis 12 (1977) 02, pp. 291-313

Persistent link: https://www.econbiz.de/10008477091

Market Makers and the Market Spread: A Review of Recent Literature

Cohen, Kalman J.; Maier, Steven F.; Schwartz, Robert A.; … - In: Journal of Financial and Quantitative Analysis 14 (1979) 04, pp. 813-835

Persistent link: https://www.econbiz.de/10005139157