Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in...

We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...

This paper describes the cointegration-based technologies commonly used to assess the relative price discovery across markets, namely the Hasbrouck information shares and Gonzalo-Granger long memory common factor weights, and presents a new metric denominated contemporaneous information...

This study examines the role for the Tokyo and the New York Stock Exchange in price discovery for Japanese shares. A structural approach is employed to investigate the efficiency and contribution in price discovery separately. We find that the speed of incorporating information into prices is...

Electronic call auctions are used globally to open and close equity market trading; as such, they are a critically important facility that needs to be better understood. The paper focuses on the impact NASDAQ's calls (introduced in 2004) have had on bid-ask spreads, price volatility, and order...

This study examines price discovery of Japanese companies Tokyo-New York cross-listed shares. Kalman ?filter is utilized to estimate partial price adjustment model. By employing Kalman filter, the present research can deal with problem researchers has to confront in order to analyze...

This paper analyses the price discovery process and the informational role of trading in the Italian wholesale secondary markets for Treasury bonds: the business-to-business (B2B), interdealer and quote driven MTS cash and the business-to-consumer (B2C), order driven BondVision trading venues....

We use tick-by-tick quote data for 39 liquid US stocks and options on them, and we focus on events when the two markets disagree about the stock price in the sense that the option-implied stock price obtained from the put-call parity relation is inconsistent with the actual stock price. Option...

This article examines the partial adjustment factors of Financial Times Stock Exchange (FTSE) 100 stock index and stock index futures. Using high frequency data from 15 January 1997 to 17 March 2000, it aims to assess the informational impact of the electronic trading systems implemented at the...

The purpose of this paper is to look at the duration of the four-month period before the window dressing of Power Quotient International Co., LTD. (PQI) annual report between 2004 and 2005 was disclosed. The vultures sold 6,373,000 shares of PQI's stock based on the illegally obtained insider...