This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only...

In this thesis we study three basic issues related to international black tea markets: Are black tea markets integrated? Where is the price of black tea discovered? Are there leaders and followers in black tea markets? We use two statistical techniques as engines of analysis. First, we use time...

Measuring the contribution of different markets to the price discovery process of a common asset has been the subject of many research studies in the last decade. In particular the newly developed derivatives markets have given rise to an increasing number of empirical studies examining the...

The financial market provides a mechanism for aggregating information of heterogeneous traders, who have different beliefs, knowledge and trading strategies. This paper studies the interactions between heterogeneous traders and their impacts on price discovery by developing a pricing model for...

The question of how a pure fiat currency is enforced and comes to have a non-zero value has been much debated (Selgin, 1994). What is less often addressed is, in the case where the enforcement is taken for granted and we ask what value (in terms of goods and services) the currency will end up...

Background: Gold exchange-traded funds, since introduction, are primarily aimed at tracking the price of physical gold in the financial market. This, a category of exchange-traded funds, whose units represent physical gold, is traded on exchanges like any other financial instrument. In the...