Results 21 to 30 of about 774,570 (356)
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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Price Discovery in Currency Markets [PDF]
SSRN Electronic Journal, 2007 This paper makes three contributions to our understanding of the price discovery process in currency markets. First, it provides evidence that this process cannot be the familiar one based on adverse selection and customer spreads, since such spreads are inversely related to a trade's likely information content.
Carol Osler +2 more
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Mathematics, 2021 This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and ...
Osama Ahmed
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Limit Order Book and Short-term Stock Price Movement Predictability: Evidence from Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 Objective: Open limit order book can be used as a tool to enhance transparency and price discovery in financial markets by showing the offered volumes and prices of buy and sell orders. In this study, we aim to answer two questions by examining the limit
Ali Ebrahimnejad +2 more
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Price Discovery in Tick Time [PDF]
SSRN Electronic Journal, 2004 This paper develops a tick time model for the quote setting dynamics on nasdaq. The model decomposes quotes into an efficient price, asymmetric information and noise. Both the evolution of the efficient price and the information contents of quotes depend on quote durations.
Frijns, Bart, Schotman, Peter C
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Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk
American Business Review, 2023 In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and the futures contract in hedging crude oil price risk.
Keshab Shrestha +2 more
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Dark trading and price discovery [PDF]
Journal of Financial Economics, 2012 Regulators globally are concerned that dark trading harms price discovery. We show that dark trades are less informed than lit trades. High levels of dark trading increase adverse selection risk on the lit exchange by increasing the concentration of informed traders.
Comerton-Forde, C, Putniņš, TJ
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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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