A model of price discovery and market design: Theory and empirical evidence

Journal of Futures Markets

Volumn 24, Issue 12, 2004, Pages 1107-1146

  Chng, Michael T ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8644261462     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.20132     Document Type: Conference Paper

References (52)

1. Barclay, M. J., Hendershott, T., & McCormick, T. (2003). Competition among trading venues: Information and trading on electronic communications networks. Journal of Finance, 58, 2639-2667.
2. Bernard, V. L. (1992). Stock market reactions to earnings announcements. Advances in Behavioural Finance. New York: Russell Sage Foundation.
3. Bloomfield, R., & O'Hara, M. (2000). Can transparent markets survive? Journal of Financial Economics, 55, 425-459.
4. Blume, M. E., Easley, D., & O'Hara, M. (1994). Market statistics and technical analysis: The role of volume. Journal of Finance, 49, 153-182.
5. Blume, M. E., & Goldstein, M. A. (1997). Quotes, order flow, and price discovery. Journal of Finance, 52, 221-244.
6. Board, J., & Sutcliffe, C. (1996). Trade transparency on the London Stock Exchange. European Financial Management, 2, 355-365.
7. Bollen, N. P., & Whaley, R. E. (1999). Do expirations of Hang Sang index derivatives affect stock market volatility? Pacific Basin Finance Journal, 7, 453-470.
8. Brown, D., & Jennings, R. (1989). On technical analysis. Review of Financial Studies, 2, 527-552.
9. Campbell, J., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics, 108, 905-939.
10. Chng, T. S. (2004). The trading dynamics of close substitute futures contracts: Evidence of margin spillover effects. Journal of Multinational Financial Management, 14, 463-483.
11. Chng, T. S., & Gannon, G. L. (2003). Contemporaneous volume and volatility transmission effects across parallel markets. International Review of Financial Analysis, 12, 49-68.
12. Christie, W., & Schultz, P. (1994). Why do market makers avoid odd eighth quotes? Journal of Finance, 49, 1813-1841.
13. Copeland, T., & Galai, D. (1983). Information effects and the bid ask spread. Journal of Finance, 38, 1457-1469.
14. deBondt, W., & Thaler, R. H. (1985). Does the stock market overreact? Journal of Finance, 40, 793-808.
15. de Jong, F. (2002). Measures of contributions to price discovery: A comparison. Journal of Financial Markets, 5, 323-328.
16. Easley, D., & O'Hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19, 69-90.
17. Ellis, K., Michaely, R., & O'Hara, M. (2000). The accuracy of trade classification rules. Journal of Financial and Quantitative Analysis, 35, 529-551.
18. Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 383-417.
19. Ferrarini, G. (1998). Stock exchange governance in the European union. Corporate governance, financial markets and global convergence 33. Melbourne, Australia: Kluwer Academic.
20. Finucane, T. J. (2000). A direct test of methods for inferring trade direction from intraday data. Journal of Financial and Quantitative Analysis, 35, 553-576.
21. Gannon, G. L. (1994). Simultaneous volatility effects in index futures. Review of Futures Markets, 13, 1027-1066.
22. Gemmill, G. (1996). Transparency and liquidity: A study of block transactions in the London Stock Exchange under different publication rules. Journal of Finance, 51, 1765-1790.
23. George, T., Kaul, G., & Nimalendran, M. (1991). Estimation of the bid ask spread and its components: A new approach. Review of Financial Studies, 4, 623-656.
24. Glosten, L., & Milgrom, P. (1985). Bid, ask, and transaction prices in a specialist market with heterogeneously informed investors. Journal of Financial Economics, 13, 71-100.
25. Gonzalo, J., & Granger, C. W. J. (1995). Estimation of common long memory components in cointegrated systems. Journal of Business and Economic Statistics, 13, 27-35.
26. Grossman, S. J., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43, 617-633.
27. Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. American Economic Review, 70, 393-408.
28. Grundy, B. D., & McNichols, M. (1989). Trade and revelation of information through prices and direct disclosure. Review of Financial Studies, 2, 495-526.
29. Hamilton, J. D. (1994). Time series analysis. Princeton, NJ: Princeton University Press.
30. Harris, F. H., McInish, T. H., Shoesmith, G. L., & Wood, R. A. (1995). Cointegration, error correction and price discovery on informationally linked security markets. Journal of Financial and Quantitative Analysis, 30, 563-580.
31. Hasbrouck, J. (1991a). Measuring the information content of stock trades. Journal of Finance, 46, 179-207.
32. Hasbrouck, J. (1991b). The summary informativeness of stock trades: An econometrics analysis. Review of Financial Studies, 4, 571-595.
33. Hasbrouck, J. (1993). Assessing the quality of a security market: A new approach to transaction cost measurement. Review of Financial Studies, 6, 191-212.
34. Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50, 1175-1199.
35. Huang, R. D. (2002). The quality of ECN and NASDAQ market maker quotes. Journal of Finance, 57, 1285-1319.
36. Karolyi, A. G. (1996). Stock market volatility around expiration days in Japan. Journal of Derivative, 4, 23-43.
37. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315-1336.
38. Lamoureux, C. G., & Lastrapes, W. D. (1990). Heteroskedasticity in stock return data: Volume versus GARCH effects. Journal of Finance, 45, 221-229.
39. Lee, C., & Ready, M. (1991). Inferring trade direction from intraday data. Journal of Finance, 46, 733-746.
40. Lehmann, B. N. (2002). Some desiderata for the measurement of price discovery across markets. Journal of Financial Markets, 5, 259-276
41. Merton, R. (1980). On estimating the expected return on the market: An explorative investigation. Journal of Financial Economics, 8, 323-361.
42. O'Hara, M. (1995). Market microstructure theory. Oxford, UK: Blackwell.
43. O'Hara, M., & Oldfield, G. S. (1986). The microeconomics of market making. Journal of Financial and Quantitative Analysis, 21, 361-376.
44. Roll, R. (1984). A simple implicit measure of the bid ask spread in an efficient market. Journal of Finance, 39, 1127-1139.
45. Schwert, G. W. (1989). Why does stock market volatility change over time. Journal of Finance, 45,1115-1153.
46. Smith, T., & Whaley, R. E. (1994). Estimating the effective bid ask spread from time and sales data. Journal of Futures Markets, 14, 437-455.
47. Stock, J. H., & Watson, M. W. (1988). Variable trends in economic time series. Journal of Economic Perspective, 2, 147-174.
48. Theissen, E. (2002). Price discovery in floor and screen trading systems. Journal of Empirical Finance, 9, 455-474.
49. Tse, Y. (2000). Further examination of price discovery on the NYSE and regional exchanges. Journal of Financial Research, 23, 331-351.
50. Walsh, D. (1997). Orders versus trades: Price effects and size measures. Australian Journal of Management, 22, 47-70
51. Wang, J. (1994). A model of competitive stock trading volume. Journal of Political Economy, 102, 127-168.
52. West, A., & Frino, A. (2003). The impact of transaction costs on price discovery: Evidence from cross-listed stock index futures contracts. Pacific Basin Finance Journal, 11, 139-151.