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Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

Harris, Frederick H. deB. - 2001

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 multi-variate cointegration test yields two cointegrating vectors...

Persistent link: https://www.econbiz.de/10012788487

The nature of individual investors' heterogeneous expectations

McInish, Thomas H.; Srivastava, Rajendra K. - In: Journal of economic psychology : research in economic … 5 (1984) 3, pp. 251-263

Persistent link: https://www.econbiz.de/10002415658

Opening and closing behavior following the introduction of call auctions in Singapore

Comerton-Forde, Carole; Ting Lau, Sie; McInish, Thomas - In: Pacific-Basin Finance Journal 15 (2007) 1, pp. 18-35

Persistent link: https://www.econbiz.de/10005372404

What if Trading Location Is Different from Business Location? Evidence from the Jardine Group

Chan, Kalok; Hameed, Allaudeen; Ting Lau, Sie - In: The journal of finance : the journal of the American … 58 (2003) 3, pp. 1221-1246

Persistent link: https://www.econbiz.de/10006555535

Opening and closing behavior following the introduction of call auctions in Singapore

Comerton-Forde, Carole; Ting Lau, Sie; Mcinish, Thomas - In: Pacific-Basin finance journal 15 (2007) 1, pp. 18-35

Persistent link: https://www.econbiz.de/10007396753

Decimals And Liquidity: A Study Of The Nyse

Chakravarty, Sugato; Wood, Robert A.; Van Ness, Robert A. - In: The journal of financial research : a publ. of the … 27 (2004) 1, pp. 75-94

Persistent link: https://www.econbiz.de/10006818715

THE IMPACT OF MARKET MAKER CONCENTRATION ON ADVERSE-SELECTION COSTS FOR NASDAQ STOCKS

Van Ness, Bonnie F.; Van Ness, Robert A.; Warr, Richard S. - In: The journal of financial research : a publ. of the … 28 (2005) 3, pp. 461

Persistent link: https://www.econbiz.de/10006812237

TRADING COSTS AND QUOTE CLUSTERING ON THE NYSE AND NASDAQ AFTER DECIMALIZATION

Chung, Kee H.; Van Ness, Bonnie F.; Van Ness, Robert A. - In: The journal of financial research : a publ. of the … 27 (2004) 3, pp. 309-328

Persistent link: https://www.econbiz.de/10006816592

Archipelago's move towards exchange status: An analysis of Archipelago trading in NYSE and NASDAQ stocks

Nguyen, Van T.; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Journal of economics and business 57 (2005) 6, pp. 541-554

Persistent link: https://www.econbiz.de/10005919969

Nasdaq Trading and Trading Costs: 1993-2002

Van Ness, Bonnie F.; Van Ness, Robert A.; Warr, Richard S. - In: The financial review : the official publication of the … 40 (2005) 3, pp. 281-304

Persistent link: https://www.econbiz.de/10005921604

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