Price discovery and common factor models

Journal of Financial Markets

Volumn 5, Issue 3, 2002, Pages 309-321

  Baillie, Richard T ^a   Geoffrey Booth, G ^a   Tse, Yiuman ^b   Zabotina, Tatyana ^c  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^c UNIVERSITY OF ILLINOIS AT SPRINGFIELD   (United States)

Author keywords

Cointegration; Common factor components; ECNs; Information shares

Indexed keywords

EID: 0036111832     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00027-7     Document Type: Article

References (14)

1. Price discovery in the German equity derivatives markets
2. Trading and pricing in upstairs and downstairs markets
3. Univariate vs. multivariate forecasts of GNP growth and stock returns: Evidence and implications for the persistence of shocks, detrending methods, and tests of the permanent income hypothesis
4. Cointegration tests and spatial price linkages in regional cattle markets
5. Estimation of common long-memory components in cointegrated systems
6. Cointegration, error correction, and price discovery informationally linked security markets
7. One security, many markets: Determining the contributions to price discovery
8. Modeling microstructure time series
9. Price discovery by ECNs and Nasdaq market makers
10. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
11. Price discovery in high and low volatility periods: Open outcry versus electronic trading
12. Variable trends in economic time series
13. Round-the-clock market efficiency and home bias: Evidence from international Japanese government bonds futures markets
14. Further examination of price discovery on the NYSE and regional exchanges