Measures of contributions to price discovery: A comparison

Journal of Financial Markets

Volumn 5, Issue 3, 2002, Pages 323-327

  De Jong, Frank ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Cointegration; Permanent transitory decomposition; Price discovery

Indexed keywords

EID: 0036112241     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00028-9     Document Type: Article

References (7)

1. Price discovery in the German equity derivatives markets
2. Price discovery on the S&P 500 index markets: An analysis of spot index, index futures and SPDRs
3. Co-integration and error correction: Representation, estimation and testing
4. Estimation of common long-memory components in cointegrated systems
5. Security price adjustment across exchanges: An investigation of common factor components for dow stocks
6. One security, many markets: Determining the contributions to price discovery
7. Testing for common trends