Kim, Minho; Szakmary, Andrew C.; Schwarz, Thomas V. - In: Journal of Futures Markets 19 (1999) 4, pp. 475-498
The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies,...