This paper addresses and resolves the problems caused by microstructure effects when measuring the relative importance of home and U.S. market in the price discovery process of internationally cross listed stocks. In order to avoid large bounds for information shares, previous studies applying...

This paper investigates the determinants of transaction price changes during BUND-future trading at Deutsche Terminbörse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which is an econometric tool that is comparatively new to the...

This paper addresses and resolves the problems caused by microstructure effects when measuring the relative importance of home and U.S. market in the price discovery process of internationally cross listed stocks. In order to avoid large bounds for information shares, previous studies applying...

We investigate external shocks and asset price's impact on the slowdown of business and household credit in Morocco using disequilibrium models. The results show that banks' fly to quality, driven by a simul-taneous decline in interest margins and borrower creditworthiness, is a key factor...