-
1
-
-
0002816156
-
A theory of intra-day patterns: volume and price volatility
-
Adamati A.R., and Pfleiderer P. A theory of intra-day patterns: volume and price volatility. Review of Financial Studies 1 (1988) 3-40
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Adamati, A.R.1
Pfleiderer, P.2
-
3
-
-
0000299255
-
Good news, bad news and international spillovers of stock return volatility between Japan and the US
-
Bae K.H., and Karolyi G.A. Good news, bad news and international spillovers of stock return volatility between Japan and the US. Pacific-Basin Finance Journal 2 (1994) 405-438
-
(1994)
Pacific-Basin Finance Journal
, vol.2
, pp. 405-438
-
-
Bae, K.H.1
Karolyi, G.A.2
-
4
-
-
34548509942
-
Multi-market trading and liquidity: theory and evidence
-
Baruch S., Karolyi G.A., and Lemmon M. Multi-market trading and liquidity: theory and evidence. The Journal of Finance 62 (2007) 2169-2200
-
(2007)
The Journal of Finance
, vol.62
, pp. 2169-2200
-
-
Baruch, S.1
Karolyi, G.A.2
Lemmon, M.3
-
6
-
-
70350565019
-
International stock return comovements
-
in press
-
Bekaert, G., Hodrick, R.J., Zhang, X., 2009. International stock return comovements. Journal of Finance, in press.
-
(2009)
Journal of Finance
-
-
Bekaert, G.1
Hodrick, R.J.2
Zhang, X.3
-
7
-
-
0010218351
-
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the U.S. Treasury bond market
-
Bollerslev T., Caic J., and Song F.M. Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the U.S. Treasury bond market. Journal of Empirical Finance 7 (2000) 37-55
-
(2000)
Journal of Empirical Finance
, vol.7
, pp. 37-55
-
-
Bollerslev, T.1
Caic, J.2
Song, F.M.3
-
9
-
-
0010050478
-
Economic determinants of the correlation structure across international equity markets
-
Bracker K., and Koch P.D. Economic determinants of the correlation structure across international equity markets. Journal of Economics and Business 51 (1999) 443-471
-
(1999)
Journal of Economics and Business
, vol.51
, pp. 443-471
-
-
Bracker, K.1
Koch, P.D.2
-
11
-
-
12344277995
-
Trading volume, information asymmetry, and timing information
-
Chae J. Trading volume, information asymmetry, and timing information. The Journal of Finance 60 (2005) 413-442
-
(2005)
The Journal of Finance
, vol.60
, pp. 413-442
-
-
Chae, J.1
-
12
-
-
0742274554
-
The dynamic relation between stock returns, trading volume, and volatility
-
Chen G., Firth M., and Rui O.M. The dynamic relation between stock returns, trading volume, and volatility. The Financial Review 38 (2001) 153-174
-
(2001)
The Financial Review
, vol.38
, pp. 153-174
-
-
Chen, G.1
Firth, M.2
Rui, O.M.3
-
14
-
-
0037212429
-
International equity market co movements: Economic fundamentals or contagion?
-
Connolly R.A., and Wang F.A. International equity market co movements: Economic fundamentals or contagion?. Pacific-Basin Finance Journal 11 (2003) 23-43
-
(2003)
Pacific-Basin Finance Journal
, vol.11
, pp. 23-43
-
-
Connolly, R.A.1
Wang, F.A.2
-
15
-
-
2442704358
-
U.S. cross-listings and the private benefits of control: Evidence from dual class firms
-
Doidge C. U.S. cross-listings and the private benefits of control: Evidence from dual class firms. Journal of Financial Economics 72 (2004) 519-554
-
(2004)
Journal of Financial Economics
, vol.72
, pp. 519-554
-
-
Doidge, C.1
-
17
-
-
0034549667
-
Market segmentation and the cost of capital in international equity markets
-
Errunza V., and Miller D. Market segmentation and the cost of capital in international equity markets. Journal of Financial and Quantitative Analysis 35 (2000) 577-600
-
(2000)
Journal of Financial and Quantitative Analysis
, vol.35
, pp. 577-600
-
-
Errunza, V.1
Miller, D.2
-
18
-
-
0042787544
-
Cross-border listings and price discovery: Evidence from US-listed Canadian stocks
-
Eun C., and Sabherwal S. Cross-border listings and price discovery: Evidence from US-listed Canadian stocks. Journal of Finance 58 (2003) 549-574
-
(2003)
Journal of Finance
, vol.58
, pp. 549-574
-
-
Eun, C.1
Sabherwal, S.2
-
20
-
-
0002357241
-
The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States
-
Foerster S., and Karolyi G.A. The effects of market segmentation and investor recognition on asset prices: evidence from foreign stocks listing in the United States. Journal of Finance 54 (1999) 981-1013
-
(1999)
Journal of Finance
, vol.54
, pp. 981-1013
-
-
Foerster, S.1
Karolyi, G.A.2
-
21
-
-
4644245260
-
Relative importance of scheduled macroeconomic news for stock market investors
-
Graham M., Nikkinen J., and Sahlström P. Relative importance of scheduled macroeconomic news for stock market investors. Journal of Economics and Finance 27 (2003) 153-165
-
(2003)
Journal of Economics and Finance
, vol.27
, pp. 153-165
-
-
Graham, M.1
Nikkinen, J.2
Sahlström, P.3
-
23
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao Y., Masulis R.W., and Ng V. Correlations in price changes and volatility across international stock markets. Review of Financial Studies 3 (1990) 281-307
-
(1990)
Review of Financial Studies
, vol.3
, pp. 281-307
-
-
Hamao, Y.1
Masulis, R.W.2
Ng, V.3
-
25
-
-
70349130453
-
Does industrial structure explain the benefits of international diversification?
-
Heston S., and Rouwenhorst K.G. Does industrial structure explain the benefits of international diversification?. Journal of Financial Economics 46 (1994) 111-157
-
(1994)
Journal of Financial Economics
, vol.46
, pp. 111-157
-
-
Heston, S.1
Rouwenhorst, K.G.2
-
26
-
-
0003151378
-
Transmission of volatility between stock markets
-
King M.A., and Wadhwani S. Transmission of volatility between stock markets. Review of Financial Studies 3 (1990) 5-33
-
(1990)
Review of Financial Studies
, vol.3
, pp. 5-33
-
-
King, M.A.1
Wadhwani, S.2
-
27
-
-
0000264314
-
Do bulls and bears move across borders? International transmission of stock returns and volatility
-
Lin W., Engle R.F., and Ito T. Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies 7 3 (1994) 507-538
-
(1994)
Review of Financial Studies
, vol.7
, Issue.3
, pp. 507-538
-
-
Lin, W.1
Engle, R.F.2
Ito, T.3
-
28
-
-
0002525307
-
Is the correlation in international equity returns constant: 1960-1990?
-
Longin F., and Solnik B. Is the correlation in international equity returns constant: 1960-1990?. Journal of International Money and Finance 14 (1995) 3-26
-
(1995)
Journal of International Money and Finance
, vol.14
, pp. 3-26
-
-
Longin, F.1
Solnik, B.2
-
29
-
-
0001466515
-
Returns synchronization and daily correlation dynamics between international stock markets
-
Martens M., and Poon S. Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking and Finance 25 (2001) 1805-1827
-
(2001)
Journal of Banking and Finance
, vol.25
, pp. 1805-1827
-
-
Martens, M.1
Poon, S.2
-
30
-
-
67349184060
-
Stock price reaction following large one-day price changes: UK evidence
-
Mazouz K., Joseph N.L., and Joulmer J. Stock price reaction following large one-day price changes: UK evidence. Journal of Banking & Finance 33 (2009) 1481-1493
-
(2009)
Journal of Banking & Finance
, vol.33
, pp. 1481-1493
-
-
Mazouz, K.1
Joseph, N.L.2
Joulmer, J.3
-
31
-
-
41349115068
-
Splitting orders in overlapping markets: A study of cross-listed stocks
-
Menkveld A.J. Splitting orders in overlapping markets: A study of cross-listed stocks. Journal of Financial Intermediation 17 (2008) 145-174
-
(2008)
Journal of Financial Intermediation
, vol.17
, pp. 145-174
-
-
Menkveld, A.J.1
-
32
-
-
34248575831
-
Modeling around the clock price discovery for cross listed stocks using state space methods
-
Menkveld A.J., Koopman S.J., and Lucas A. Modeling around the clock price discovery for cross listed stocks using state space methods. Journal of Business and Economics Statistics 25 (2007) 213-225
-
(2007)
Journal of Business and Economics Statistics
, vol.25
, pp. 213-225
-
-
Menkveld, A.J.1
Koopman, S.J.2
Lucas, A.3
-
33
-
-
0012494420
-
Stock prices and domestic and international macroeconomic activity: a cointegration approach
-
Nasseh A., and Strauss J. Stock prices and domestic and international macroeconomic activity: a cointegration approach. The Quarterly Review of Economics and Finance 40 (2000) 229-245
-
(2000)
The Quarterly Review of Economics and Finance
, vol.40
, pp. 229-245
-
-
Nasseh, A.1
Strauss, J.2
-
34
-
-
0000706085
-
A simple, positive semi-definite, heteroscedastic and autocorrelation consistent covariance matrix
-
Newey W., and West K. A simple, positive semi-definite, heteroscedastic and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
35
-
-
33747766124
-
Global stock market reactions to scheduled US macroeconomic news announcements
-
Nikkinen J., Omran M., Sahlstrom P., and Aijo J. Global stock market reactions to scheduled US macroeconomic news announcements. Global Finance Journal 17 (2006) 92-104
-
(2006)
Global Finance Journal
, vol.17
, pp. 92-104
-
-
Nikkinen, J.1
Omran, M.2
Sahlstrom, P.3
Aijo, J.4
-
36
-
-
0013467834
-
The geography of equity listing: Why do European companies list abroad?
-
Pagano M., Roell A.A., and Zechner J. The geography of equity listing: Why do European companies list abroad?. Journal of Finance 57 (2002) 2651-2694
-
(2002)
Journal of Finance
, vol.57
, pp. 2651-2694
-
-
Pagano, M.1
Roell, A.A.2
Zechner, J.3
-
37
-
-
84892702170
-
Estimating standard errors in finance panel data sets: Comparing approaches
-
Petersen M.A. Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies 22 (2009) 435-480
-
(2009)
Review of Financial Studies
, vol.22
, pp. 435-480
-
-
Petersen, M.A.1
-
38
-
-
4344623288
-
The overseas listing decision: new evidence of proximity preference
-
Sarkissian S., and Schill M. The overseas listing decision: new evidence of proximity preference. Review of Financial Studies 17 3 (2004) 769-809
-
(2004)
Review of Financial Studies
, vol.17
, Issue.3
, pp. 769-809
-
-
Sarkissian, S.1
Schill, M.2
-
39
-
-
85132195198
-
An empirical study of selected factors influencing the decision to list on foreign stock exchanges
-
Saudagaran S. An empirical study of selected factors influencing the decision to list on foreign stock exchanges. Journal of International Business Studies 19 (1988) 101-127
-
(1988)
Journal of International Business Studies
, vol.19
, pp. 101-127
-
-
Saudagaran, S.1
-
40
-
-
70350568283
-
-
Smith, K., Sofianos, G., 1996. The distribution of global trading in NYSE-listed non-U.S. stocks. Working paper, NYSE 96-02, New York, NY.
-
Smith, K., Sofianos, G., 1996. The distribution of global trading in NYSE-listed non-U.S. stocks. Working paper, NYSE 96-02, New York, NY.
-
-
-
|