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Analyzing Price Discovery Function of Gold Coin Futures Contracts in Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2016 This paper deals with the question of whether gold coin futures contract in Iran performs expected function of price discovery or not. We investigate this question by using three distinct approaches: linear and nonlinear causality tests between gold coin
Ahmad Mohammadi +2 more
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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
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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DO FIRM CHARACTERISTICS AFFECT PRICE DISCOVERY? EVIDENCE FROM CHINESE CROSS-LISTED STOCKS
Economic Review, 2021 This study examines the price movement relationship for Chinese firms that cross-list their shares on the Hong Kong Stock Exchange and the Shanghai Stock Exchange or Shenzhen Stock Exchange in mainland China.
Yen-Sheng Lee, Yi-Heng Tseng
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Energies, 2019 This paper investigates the co-movement and asymmetric interactions between energy and grain prices, based on the evidence from the crude oil and corn markets, the most important energy and grain markets, respectively. Time series analysis indicates that
Zhan-Ming Chen +3 more
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Agricultural Economics (AGRICECON), 2022 The volatility of food prices still raises concerns among agricultural market players, increasing interest in the futures markets, thus calling for a better understanding of the connection between the futures and the Italian spot prices.
Carlotta Penone, Samuele Trestini
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Arbitrage, market definition and monitoring a time series approach [PDF]
, 2012 This article considers the application to regional price data of time series methods to test stationarity, multivariate cointegration and exogeneity.
Burke, S, Hunter, J
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Inflation and price discovery in advanced economies
Journal of Applied EconomicsWhile the recent global inflation appears to be under control, significant uncertainty remains surrounding the future potential of disinflationary trends and the renewal of inflationary pressure.
Hany Guirguis +2 more
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Pre-open call auction and price discovery: Evidence from India
Cogent Economics & Finance, 2014 Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010.
Rajesh Acharya, Vishal Gaikwad
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How Did Short Sale Ban Affect German Capital Market Risk?
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 The problem of short sale is a popular issue of stock trading and efficiency of pricing. Most regulatory authorities around the world adopted in the period 2007–2010 ad hoc bans on short selling.
Dagmar Linnertová
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