Similar Search Results

Narrow search

Bids and asks in disequilibrium market microstructure: The case of IBM

deB. Harris, Frederick H.; McInish, Thomas H.; … - In: Journal of Banking & Finance 19 (1995) 2, pp. 323-345

Persistent link: https://www.econbiz.de/10005213698

Liquidity supply in electronic markets

Aitken, Michael; Almeida, Niall; deB. Harris, Frederick H. - In: Journal of Financial Markets 10 (2007) 2, pp. 144-168

Persistent link: https://www.econbiz.de/10005320025

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

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

Persistent link: https://www.econbiz.de/10005322148

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