Results 11 to 20 of about 770,462 (312)
Time varying price discovery [PDF]
Economics Letters, 2013 We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions.
Avino, Davide +2 more
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Strategic Behavior and Price Discovery [PDF]
The RAND Journal of Economics, 2001 The paper analyzes the effects of strategic behavior by an insider in a price discovery process, akin to an information tatonnement, in the presence of a competitive informed sector. Such processes are used in the preopening period of continuous trading systems in several exchanges. It is found that the insider manipulates the
Medrano, Luis Angel, Vives, Xavier
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Price Discovery in Agricultural Markets
American Business Review, 2020 In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the ...
Keshab Shrestha +2 more
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A discussion with Vernon Smith on the Classics, Marx, and Sraffa
PSL Quarterly Review, 2023 This paper is a revised version of a discussion with Nobel laureate Vernon Smith on the limits of neoclassical theory and on the opportunity to recover the alternative approach of classical economists and Marx.
Emiliano Brancaccio
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Heliyon, 2023 Stock index futures have been around for more than 12 years in the Chinese market, but there are conflicting viewpoints on the role of Chinese stock index futures in the market.
Min Su
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Price Discovery in Cryptocurrency Markets [PDF]
AEA Papers and Proceedings, 2019 We ask which markets drive bitcoin prices and how price discovery happens across different exchanges. Does the greater exuberance for cryptocurrencies outside the United States affect prices only on local markets or does it impact price formation on global cryptocurrency markets?
Makarov, Igor, Schoar, Antoinette
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Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis [PDF]
, 2004 This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and
Escribano, Álvaro +2 more
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Price Discovery in Fragmented Markets [PDF]
Journal of Financial Econometrics, 2009 This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery related to the Hasbrouck (1995 ...
de Jong, Frank, Schotman, Peter C
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Gold Exchange Traded Fund - Price Discovery and Performance Analysis
Scientific Annals of Economics and Business, 2018 The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds especially with respect to two Gold ETFs, namely, Goldman Sachs Gold Exchange Traded Scheme (GoldBeEs) and SBI Gold Exchange Traded Scheme (SBIGETS ...
Mallika Mathew, Sulphey M. M.
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Effectiveness of price limits: Evidence from China's ChiNext market.
PLoS ONE, 2023 Starting from August 24, 2020, the daily stock price limits in China's ChiNext market have been adjusted from 10% to 20%. We use this reform to study the effectiveness of price limits in China's stock market.
Bao Qi
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