Information contents misjudged: Digressive convergence to equilibrium in cointegrated prices

Review of Financial Economics

Volumn 18, Issue 4, 2009, Pages 183-189

  Tswei, Keshin ^a   Lai, Jing yi ^b  

^a NANHUA UNIVERSITY   (Taiwan)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Error correction; Overreaction; Price discovery

Indexed keywords

EID: 69449094678     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.rfe.2008.09.002     Document Type: Article

References (30)

1. Ates A., and Wang G.H.K. Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets. Journal of Futures Markets 25 (2005) 679-715
2. Chan K. A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies 5 (1992) 123-152
3. Chan S.-J., Lin C.-C., and Hsu H. Do different futures contracts in one stock exchange have the same price discovery capability? Empirical study of Taiwan futures exchange. Journal of Financial Management and Analysis 17 (2004) 34-44
4. Chen S.-Y., Lin C.-C., Chou P.-H., and Hwang D.-Y. Comparison of hedge effectiveness and price discovery between TAIFEX TAIEX index futures and SGX MSCI Taiwan index futures. Review of Pacific Basin Financial Markets and Policies 5 (2002) 277-300
5. Covrig V., Ding D.K., and Low B.S. The contribution of a satellite market to price discovery: Evidence from the Singapore Exchange. Journal of Futures Markets 24 (2004) 981-1004
6. de Jong F. Measures of contributions to price discovery: A comparison. Journal of Financial Markets 5 (2002) 323-327
7. Engle R.F., and Granger C.W.J. Cointegration and error correction: Representation, estimation and testing. Econometrica 55 (1987) 251-276
8. Eun C.S., and Sabherwal S. Cross-border listings and price discovery: Evidence from U.S.-listed Canadian stocks. Journal of Finance 58 (2003) 549-575
9. Fleming J., Ostdiek B., and Whaley R.E. Trading costs and the relative rates of price discovery in stock, futures, and option markets. Journal of Futures Markets 16 (1996) 353-387
10. Fong K., and Zurbruegg R. How much do locals contribute to the price discovery process?. Journal of Empirical Finance 10 (2003) 305-320
11. Foster A.J. Price discovery in oil markets: A time varying analysis of the 1990-91 Gulf conflict. Energy Economics 18 (1996) 231-246
12. Frino A., Harris H., McInish T.H., and Tomas III M.J. Price discovery in the pits: The role of market makers on the CBOT and the Sydney Futures Exchange. Journal of Futures Markets 24 (2004) 785-804
13. Garbade K.D., and Silber W.L. Price movements and price discovery in futures and cash markets. Review of Economics and Statistics 65 (1983) 289-297
14. Gonzalo J., and Granger C.W.J. Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics 13 (1995) 27-35
15. Harris F.H.d., McInish T.H., Shoesmith G.L., and Wood R.A. Cointegration, error correction, and price discovery on informationally linked security markets. Journal of Financial and Quantitative Analysis 30 (1995) 563-579
16. Harris F.H.d., McInish T.H., and Wood R.A. Common factor components versus information shares: A reply. Journal of Financial Markets 5 (2002) 341-348
17. Hasbrouck J. One security, many markets: Determining the contributions to price discovery. Journal of Finance 50 (1995) 1175-1199
18. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59 (1991) 1551-1580
19. Kawaller I.G., Koch P.D., and Koch T.W. The temporal price relationship between the S&P 500 futures and the S and P 500 index. Journal of Finance 42 (1987) 1309-1329
20. Kim K.-h. Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model. Review of Financial Economics 12 (2003) 301-313
21. Lin C.-C., Chen S.-Y., Hwang D.-Y., and Lin C.-F. Does index futures dominate index spot? Evidence from Taiwan market. Review of Pacific Basin Financial Markets and Policies 5 (2002) 255-275
22. Phylaktis K., and Manalis G. Price transmission dynamics between informationally linked securities. Applied Financial Economics 15 (2005) 187-201
23. Roope M., and Zurbruegg R. The intra-day price discovery process between the Singapore Exchange and the Taiwan Futures Exchange. Journal of Futures Markets 22 (2002) 219-240
24. Stoll H.R., and Whaley R. The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis 25 (1990) 441-468
25. Su Q., and Chong T.T.-L. Determining the contributions to price discovery for Chinese cross-listed stocks. Pacific-Basin Finance Journal 15 (2007) 140-153
26. Theissen E. Price discovery in floor and screen trading systems. Journal of Empirical Finance 9 (2002) 455-474
27. Tse Y., and Erenburg G. Competition for order flow, market quality, and price discovery in the NASDAQ 100 index tracking stock. Journal of Financial Research 26 (2003) 301-318
28. Tse Y., Lee T., and Booth G.G. The international transmission of information in Eurodollar futures markets: A continuously trading market hypothesis. Journal of International Money and Finance 15 (1996) 447-465
29. Wahab M., and Lashqari M. Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. Journal of Futures Markets 13 (1993) 711-742
30. Zhong M., Darrat A.F., and Otero R. Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico. Journal of Banking and Finance 28 (2004) 3037-3054