Some desiderata for the measurement of price discovery across markets

Journal of Financial Markets

Volumn 5, Issue 3, 2002, Pages 259-276

  Lehmann, Bruce N ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036099041     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00025-3     Document Type: Article

References (9)

1. Price discovery and common factor models
2. Measures of the contribution to price discovery: A comparison
3. Estimation of common long-memory components in cointegrated systems
4. Cointegration, error correction, and price discovery on informationally linked securities markets
5. Security price adjustment across exchanges: An investigation of common factor components for Dow stocks
6. Common factor components versus information shares: A reply
7. One security, many markets: Determining the contributions to price discovery
8. Modeling microstructure time series
9. Stalking the "efficient price" in market microstructure specifications: An overview