Common factor components versus information shares: A reply

Journal of Financial Markets

Volumn 5, Issue 3, 2002, Pages 341-348

  Harris, Frederick H DeB ^a,c   McInish, Thomas H ^b   Wood, Robert A ^b  

^a WAKE FOREST UNIVERSITY   (United States)

^b UNIVERSITY OF MEMPHIS   (United States)

^c WAKE FOREST UNIVERSITY   (United States)

Author keywords

Common factor components; Error correction; Information shares; Price discovery

Indexed keywords

EID: 0036099305     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00030-7     Document Type: Article

References (10)

1. Optimal control of execution costs
2. Measures of the contribution to price discovery: A comparison
3. Estimation of common long-memory components in cointegrated systems
4. A regime-level empirical model of the specialist quote revision process
5. Cointegration, error correction and price discovery on informationally-linked security markets
6. Bids and asks in disequilibrium market microstructure
7. Common long-memory components for intraday stock prices: A measure of price discovery
8. Security price adjustment across exchanges: An investigation of common factor components for Dow stocks
9. One security, many markets: Determining the contributions to price discovery
10. Stalking the "Efficient price" in market microstructure specifications: An overview