Results 21 to 30 of about 78,643 (309)
Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system [PDF]
, 2011 Copyright @ 2011 Brunel UniversityThis paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities.
Girardi, Alessandro +3 more
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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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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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On the timeliness of price discovery [PDF]
SSRN Electronic Journal, 2006 Price discovery is the process whereby value-relevant, private information becomes impounded or reflected in a stock's publicly-observable market price. The timeliness of price discovery refers to how quickly that process takes effect. There is no reason to believe either that all private information is discovered equally quickly or that price ...
Beekes, W A, Brown, P
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Price Discovery of Agri Commodities: An Integrated Approach
Финансы: теория и практика, 2022 The purpose of this paper is to examine how the introduction of the pan-India electronic trading portal (eNAM) impacted the information transmission and price discovery in informationally linked markets of India for agricultural commodities.
A. Mishra, R. P. Kumar
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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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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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High-Frequency Trading and Price Discovery [PDF]
Review of Financial Studies, 2013 We examine the role of high-frequency traders (HFTs) in price discovery and price efficiency. Overall HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on the highest volatility days.
Jonathan Brogaard +2 more
openaire +4 more sources
Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system [PDF]
, 2013 This is the post-print version of the final paper published in Journal of Banking and Finance. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural ...
Girardi, A
core +1 more source
The Influence of Daily Price Limit Effects on Price Behavior of Stocks: A Contrarian Investment Strategy Approach [PDF]
مطالعات تجربی حسابداری مالی, 2011 Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes.
s.m shariat panahi, A abjadpour
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