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Cointegration, error correction, and price discovery on informationally linked security markets

Harris, Frederick H. deB.; McInish, Thomas H.; … - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 563-579

Persistent link: https://www.econbiz.de/10001218096

Fragmentation and price discovery : a comparison of Reg NMS and MiFID1

Harris, Frederick H. deB.; McInish, Thomas H.; … - In: The journal of trading 9 (2014) 4, pp. 6-36

Persistent link: https://www.econbiz.de/10011291072

Security price adjustment across exchanges : an investigation of common factor components for Dow stocks

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of financial markets 5 (2002) 3, pp. 277-308

Persistent link: https://www.econbiz.de/10001706035

Common factor components versus information shares: a reply

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of financial markets 5 (2002) 3, pp. 341-348

Persistent link: https://www.econbiz.de/10001706070

Price discovery in the pits : the role of market makers on the CBOT and the Sydney futures exchange

Frino, Alex; Harris, Frederick H. deB.; McInish, Thomas H. - In: The journal of futures markets 24 (2004) 8, pp. 785-804

Persistent link: https://www.econbiz.de/10002138812

What order flow reveals about the role of the underwriter in IPO aftermarks

Aitken, Michael J.; Harris, Frederick H. deB.; McInish, … - In: International journal of managerial finance : IJMF 5 (2009) 1, pp. 16-49

Persistent link: https://www.econbiz.de/10003935276

Liquidity supply in electronic markets

Aitken, Michael J.; Almeida, Niall; Harris, Frederick … - In: Journal of financial markets 10 (2007) 2, pp. 144-168

Persistent link: https://www.econbiz.de/10003510372

Financial analysts and price discovery

Aitken, Michael J.; Almeida, Niall; Harris, Frederick … - In: Accounting and finance : journal of the Accounting … 48 (2008) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10003682517

Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange

Frino, Alex; Harris, Frederick H. deB.; McInish, Thomas H. - In: Journal of Futures Markets 24 (2004) 8, pp. 785-804

This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the...

Persistent link: https://www.econbiz.de/10011197612

An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore

Ding, David K.; Harris, Frederick H. deB.; Lau, Sie Ting; … - In: Journal of Multinational Financial Management 9 (1999) 3-4, pp. 317-329

Persistent link: https://www.econbiz.de/10005300094