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Price discovery in emerging market ETFs
Applied Economics, 2020Over the last two decades, exchange traded funds (ETFs) have become a preferred investment vehicle to make directional market bets due to their low costs and high liquidity. Moreover, due to the arbitrage activities of authorized participants, prices of ETFs do not deviate materially from the prices of their underlying securities. As a result, ETFs may
Yigit Atilgan +3 more
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International Review of Financial Analysis, 2012
Abstract This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model.
Gady Jacoby, Rose C. Liao
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Abstract This paper investigates the influence of sentimental noise traders on the security price adjustment. We use De Long et al.'s (1990) definition of noise traders, who falsely believe they have special information, to extend Easley and O'Hara's (1992) seminal model.
Gady Jacoby, Rose C. Liao
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Price Discovery in Government Bond Markets [PDF]
SSRN Electronic Journal, 2011 Abstract Price discovery in government bond markets is explored using Norwegian data including trades from both tiers of the market and dealer identities. The results show that while aggregate interdealer order flow explains one-fourth of daily yield changes, aggregate customer order flow has little explanatory power.
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Cotton Price Discovery and Pricing Efficiency
1979Market Information and Price Reporting in the Food and Agricultural Sector, May 24-25, 1979, Madison ...
Sporleder, Thomas L. +1 more
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Price Discovery in Crude Oil Prices
SSRN Electronic Journal, 2011I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more responsive to a common trend shock.
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The Speed of Stock Price Discovery
SSRN Electronic Journal, 2012We develop closed-form expressions for the path and speed of stock price discovery in a utility-based CAPM with wealth effects. Two investors with uniquely bounded risk-preferences always apply opposite portfolio rebalancing trades. These trades determine the intra-period path and speed of price discovery in a Walrasian, tâtonnement setup.
Arieh Gavious, Haim Kedar-Levy
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Quotes, Order Flow, and Price Discovery
The Journal of Finance, 1997ABSTRACTThe goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE‐listed stocks. The conclusions are: most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes.
Blume, Marshall E, Goldstein, Michael A
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How well does the weighted price contribution measure price discovery?
Journal of Economic Dynamics and Control, 2010Abstract The weighted price contribution (WPC) is a popular measure for price discovery. This paper examines the theoretical properties and empirical performance of the WPC in sequential markets. The benchmark used to judge the WPC is the information share (IS) measure based on the variation of the efficient price.
Jian-Xin Wang, Minxian Yang
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Price Movements and Price Discovery in Futures and Cash Markets
The Review of Economics and Statistics, 1983R ISK transfer and price discovery are two of the major contributions of futures markets to the organization of economic activity (Working (1962), Evans (1978, p. 80), and Silber (1981)). Risk transfer refers to hedgers using futures contracts to shift price risk to others.
Garbade, Kenneth D, Silber, William L
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SSRN Electronic Journal, 2009
According to French and Roll (1986), the three sources of market volatility are public information, private information, and error in estimating the value of public information, which is known as “pricing error”. Even though pricing error can generate a significant amount of stock volatility and cause peculiar patterns of short-term price movement ...
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According to French and Roll (1986), the three sources of market volatility are public information, private information, and error in estimating the value of public information, which is known as “pricing error”. Even though pricing error can generate a significant amount of stock volatility and cause peculiar patterns of short-term price movement ...
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