Nothing Special   »   [go: up one dir, main page]
create a website
The market microstructure of the European climate exchange. (2014). Otsubo, Yoichi ; Mizrach, Bruce.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:39:y:2014:i:c:p:107-116.

Full description at Econpapers || Download paper

Cited: 41

Citations received by this document

Cites: 28

References cited by this document

Cocites: 59

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Interpretable EU ETS Phase 4 prices forecasting based on deep generative data augmentation approach. (2024). Tang, Zhenpeng ; Cai, YI ; Chen, Kaijie ; Liu, Dinggao.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000680.

    Full description at Econpapers || Download paper

  2. The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach. (2023). Ren, Xiaohang ; Zhang, Rui ; Zhong, Meirui.
    In: Energy Economics.
    RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002062.

    Full description at Econpapers || Download paper

  3. .

    Full description at Econpapers || Download paper

  4. Convolutional neural network forecasting of European Union allowances futures using a novel unconstrained transformation method. (2022). Chevallier, Julien ; Wei, Yigang ; Qin, Haotong ; Wang, Huiwen ; Huang, Wenyang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322002171.

    Full description at Econpapers || Download paper

  5. Does herding behavior exist in Chinas carbon markets?. (2022). Wu, Zhanchi ; Zhu, Bangzhu ; Wang, Ping ; Gao, Yan ; Zhou, Xinxing.
    In: Applied Energy.
    RePEc:eee:appene:v:308:y:2022:i:c:s0306261921015695.

    Full description at Econpapers || Download paper

  6. The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach. (2021). Mishra, Tapas ; Yan, Cheng ; Shi, Yukun ; Ren, Xiaohang ; Duan, Kun.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000360.

    Full description at Econpapers || Download paper

  7. From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2020). Mauer, Eva-Maria ; Friedrich, Marina ; Tietjen, Oliver ; Pahle, Michael.
    In: EconStor Preprints.
    RePEc:zbw:esprep:225210.

    Full description at Econpapers || Download paper

  8. Fixing Long-term Price Paths for Fossil Energy. The Optimal Incentive for Limiting Global Warming. (2020). Schulmeister, Stephan.
    In: WIFO Working Papers.
    RePEc:wfo:wpaper:y:2020:i:604.

    Full description at Econpapers || Download paper

  9. Fixing long-term price paths for fossil energy: the optimal incentive for limiting global warming. (2020). Schulmeister, Stephan.
    In: ICAE Working Papers.
    RePEc:ico:wpaper:112.

    Full description at Econpapers || Download paper

  10. Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628.

    Full description at Econpapers || Download paper

  11. From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2019). Tietjen, Oliver ; Pahle, Michael ; Mauer, Eva-Maria ; Friedrich, Marina.
    In: EconStor Preprints.
    RePEc:zbw:esprep:196150.

    Full description at Econpapers || Download paper

  12. Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective. (2019). Zhang, Wei ; Shen, Dehua ; Xiong, Xiong ; Zhao, Ruwei.
    In: International Journal of Information Technology & Decision Making (IJITDM).
    RePEc:wsi:ijitdm:v:18:y:2019:i:02:n:s0219622019500081.

    Full description at Econpapers || Download paper

  13. Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

    Full description at Econpapers || Download paper

  14. An analysis of price discovery between Bitcoin futures and spot markets. (2019). Kapar, Burcu ; Olmo, Jose.
    In: Economics Letters.
    RePEc:eee:ecolet:v:174:y:2019:i:c:p:62-64.

    Full description at Econpapers || Download paper

  15. Investor trading behavior on agricultural future prices. (2019). Huang, Jialiang ; Zhang, Rixin ; Zhou, Liyun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379.

    Full description at Econpapers || Download paper

  16. Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:81:y:2019:i:c:p:387-410.

    Full description at Econpapers || Download paper

  17. Surprise and dispersion: informational impact of USDA announcements. (2019). Frijns, Bart ; TouraniRad, Alireza ; Indriawan, Ivan ; FernandezPerez, Adrian .
    In: Agricultural Economics.
    RePEc:bla:agecon:v:50:y:2019:i:1:p:113-126.

    Full description at Econpapers || Download paper

  18. Network Features of the EU Carbon Trade System: An Evolutionary Perspective. (2018). Guo, Jianfeng ; Gao, Xiangyun ; Liu, Yinpeng.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:6:p:1501-:d:151432.

    Full description at Econpapers || Download paper

  19. The Chicago Climate Exchange and market efficiency: an empirical analysis. (2017). Sabbaghi, Navid.
    In: Environmental Economics and Policy Studies.
    RePEc:spr:envpol:v:19:y:2017:i:4:d:10.1007_s10018-016-0171-4.

    Full description at Econpapers || Download paper

  20. Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. (2017). Rannou, Yves.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:779-808.

    Full description at Econpapers || Download paper

  21. Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan .
    In: Energy Economics.
    RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

    Full description at Econpapers || Download paper

  22. Politics matters: Regulatory events as catalysts for price formation under cap-and-trade. (2016). Edenhofer, Ottmar ; Fuss, Sabine ; Grosjean, Godefroy ; Koch, Nicolas.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:78:y:2016:i:c:p:121-139.

    Full description at Econpapers || Download paper

  23. Why do carbon prices and price volatility change?. (2016). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:63:y:2016:i:c:p:76-94.

    Full description at Econpapers || Download paper

  24. Optimal hedging in carbon emission markets using Markov regime switching models. (2016). Shi, Yukun ; Philip, Dennis.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:43:y:2016:i:c:p:1-15.

    Full description at Econpapers || Download paper

  25. Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets. (2016). Barneto, Pascal ; Rannou, Yves.
    In: Energy Economics.
    RePEc:eee:eneeco:v:53:y:2016:i:c:p:159-174.

    Full description at Econpapers || Download paper

  26. Liquidity and market efficiency in the worlds largest carbon market. (2016). Rhodes, Mark ; Andreas, ; Gregoriou, Andros ; Ibikunle, Gbenga.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:48:y:2016:i:4:p:431-447.

    Full description at Econpapers || Download paper

  27. Liquidity and resolution of uncertainty in the European carbon futures market. (2015). Kalaitzoglou, Iordanis Angelos ; Ibrahim, Boulis Maher.
    In: Post-Print.
    RePEc:hal:journl:hal-01107956.

    Full description at Econpapers || Download paper

  28. How integrated is the European carbon derivatives market?. (2015). PETITJEAN, Mikael ; Mazza, Paolo.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:15:y:2015:i:c:p:18-30.

    Full description at Econpapers || Download paper

  29. Liquidity and resolution of uncertainty in the European carbon futures market. (2015). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis Angelos .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:37:y:2015:i:c:p:89-102.

    Full description at Econpapers || Download paper

  30. Dynamic linkages among carbon, energy and financial markets: a smooth transition approach. (2014). Koch, Nicolas.
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:7:p:715-729.

    Full description at Econpapers || Download paper

  31. Catalysts for price discovery in the European Union Emissions Trading System. (2014). Swieringa, John ; Schultz, Emma .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:42:y:2014:i:c:p:112-122.

    Full description at Econpapers || Download paper

  32. A microstructure analysis of the carbon finance market. (2014). Hyde, Stuart ; Bredin, Don ; Muckley, Cal.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:222-234.

    Full description at Econpapers || Download paper

  33. Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence. (2014). Edenhofer, Ottmar ; Grosjean, Godefroy ; Fuss, Sabine ; Koch, Nicolas.
    In: Energy Policy.
    RePEc:eee:enepol:v:73:y:2014:i:c:p:676-685.

    Full description at Econpapers || Download paper

  34. What makes carbon traders cluster their orders?. (2014). Pardo, Angel ; Palao, Fernando .
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:158-165.

    Full description at Econpapers || Download paper

  35. The timeline of trading frictions in the European carbon market. (2014). PASCUAL, ROBERTO ; Pardo, Angel ; Medina, Vicente .
    In: Energy Economics.
    RePEc:eee:eneeco:v:42:y:2014:i:c:p:378-394.

    Full description at Econpapers || Download paper

  36. Price Discovery and Trading after Hours: New Evidence from the Worlds Largest Carbon Exchange. (2013). Gregoriou, Andros ; Pandit, Naresh R. ; Ibikunle, Gbenga.
    In: International Journal of the Economics of Business.
    RePEc:taf:ijecbs:v:20:y:2013:i:3:p:421-445.

    Full description at Econpapers || Download paper

  37. Trading patterns in the European carbon market: The role of trading intensity and OTC transactions. (2013). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:4:p:402-416.

    Full description at Econpapers || Download paper

  38. Does order flow in the European Carbon Futures Market reveal information?. (2013). Ibrahim, Boulis M. ; Kalaitzoglou, Iordanis .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:604-635.

    Full description at Econpapers || Download paper

  39. Modeling the relationship between European carbon permits and certified emission reductions. (2013). Koop, Gary.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:24:y:2013:i:c:p:166-181.

    Full description at Econpapers || Download paper

  40. The Microstructure of Currency Markets. (2012). Osler, Carol ; Wang, Xuhang .
    In: Working Papers.
    RePEc:brd:wpaper:49.

    Full description at Econpapers || Download paper

  41. Does Order Flow in the European Carbon Allowances Market Reveal Information?. (2010). Ibrahim, Boulis Maher ; Kalaitzoglou, Iordanis .
    In: CFI Discussion Papers.
    RePEc:hwe:cfidps:1003.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahn, Hee-Joon ; Cai, Jun ; Hamao, Yasushi ; Ho, Richard Y.K. Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange. 2005 Journal of Banking and Finance. 29 1483-1508

  2. Baillie, Richard T. ; Geoffrey Booth, G. ; Tse, Yiuman ; Zabotina, Tatyana Price discovery and common factor models. 2002 Journal of Financial Markets. 5 309-321

  3. Benz, Eva A., Hengelbrock Jördis, 2008. Liquidity and price discovery in the European CO2 futures market: an intraday analysis. In: 21st Australian Finance and Banking Conference 2008 Paper <http://ssrn.com/abstract=1143923>.
    Paper not yet in RePEc: Add citation now

  4. Brandt, Michael W. ; Kavajecz, Kenneth A. Price discovery in the US Treasury market: the impact of orderflow and liquidity on the yield curve. 2004 Journal of Finance. 59 2623-2654

  5. Bryant, Henry L. ; Haigh, Michael S. Bid-ask spreads in commodity futures markets. 2004 Applied Financial Economics. 14 923-936

  6. Chordia, Tarun ; Subrahmanyam, Avanidhar Order imbalance and individual stock returns: theory and evidence. 2004 Journal of Financial Economics. 72 485-518

  7. Chung, Kee H. ; Li, Mingsheng ; McInish, Thomas H. Information-based trading, price impact of trades, and trade autocorrelation. 2005 Journal of Banking and Finance. 29 1645-1669

  8. Conrad, Christian ; Rittler, Daniel ; Waldemar Rotfuß, Waldemar Modeling and explaining the dynamics of European Union Allowance prices at high-frequency. 2012 Energy Economics. 34 316-326

  9. Covrig, Vicentu ; Ng, Lilian Volume autocorrelation, information, and investor trading. 2004 Journal of Banking and Finance. 28 2155-2174

  10. Evans, Martin D.D. ; Lyons, Richard K. Order flow and exchange rate dynamics. 2002 Journal of Political Economy. 110 170-180

  11. Figuerola-Ferretti, Isabel ; Gonzalo, Jesús Modelling and measuring price discovery in commodity markets. 2010 Journal of Econometrics. 158 95-107

  12. Frijns, Bart ; Gilbert, Aaron ; Tourani-Rad, Alireza Insider trading, regulation, and the components of the bid-ask spread. 2008 Journal of Financial Research. 31 225-246

  13. Garbade, Kenneth D. ; Silber, William L. Price movements and price discovery in futures and cash markets. 1983 The Review of Economics and Statistics. 65 289-297

  14. Glosten, Lawrence R. ; Harris, Lawrence E. Estimating the components of the bid/ask spread. 1988 Journal of Financial Economics. 21 123-142

  15. Gonzalo, Jesus ; Granger, Clive Estimation of common long-memory components in cointegrated systems. 1995 Journal of Business and Economic Statistics. 13 27-35

  16. Harris, Frederic H.de B. ; McInish, Thomas H. ; Wood, Robert A. Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. 2002 Journal of Financial Markets. 5 277-308

  17. Hasbrouck, Joel One security, many markets: determining the contributions to price discovery. 1995 Journal of Finance. 50 1175-1199

  18. Huang, Roger D. ; Stoll, Hans R. The components of the bid-ask spread: a general approach. 1997 Review of Financial Studies. 10 995-1034

  19. Kelly, David L., Steigerwald, Douglas G., 2003. Private Information and High-Frequency Stochastic Volatility. Working paper, University of California at Santa Barbara.

  20. Kyle, Albert S. Continuous auctions and insider trading. 1985 Econometrica. 53 1315-1335

  21. Madhavan, Ananth ; Richardson, Matthew ; Roomans, Mark Why do security prices change? a transaction-level analysis of NYSE stocks. 1997 Review of Financial Studies. 10 1035-1064

  22. Marshall, Ben R. ; Nguyen, Nhut H. ; Nuttawat, Commodity liquidity measurement and transaction costs. 2012 Review of Financial Studies. 25 599-638

  23. Mizrach, Bruce Integration of the global carbon markets. 2012 Energy Economics. 34 335-349

  24. Rime, Dagfinn ; Sarno, Lucio ; Sojli, Elvira Exchange rate forecasting, order flow and macroeconomic information. 2010 Journal of International Economics. 80 72-88

  25. Riordan, Ryan ; Storkenmaier, Andreas ; Wagener, Martin ; Zhang, S. Sarah Public information arrival: price discovery and liquidity in electronic limit order markets. 2013 Journal of Banking and Finance. 37 1148-1159

  26. Rittler, Daniel Price discovery and volatility spillovers in the European Union emissions trading scheme: a high-frequency analysis. 2012 Journal of Banking and Finance. 36 774-785

  27. Stock, James H. ; Watson, Mark W. Testing for common trends. 1988 Journal of the American Statistical Association. 83 1097-1107
    Paper not yet in RePEc: Add citation now

  28. Tarun, Chordia ; Roll, Richard ; Subrahmanyam, Avanidhar Order imbalance, liquidity, and market returns. 2002 Journal of Financial Economics. 65 111-130

Cocites

Documents in RePEc which have cited the same bibliography

  1. .

    Full description at Econpapers || Download paper

  2. Social comparison of cost behaviour and financial analysts. (2018). Madadian, Oveis ; Van Caneghem, Tom ; Aerts, Walter.
    In: Accounting and Business Research.
    RePEc:taf:acctbr:v:48:y:2018:i:7:p:805-839.

    Full description at Econpapers || Download paper

  3. The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets. (2018). Moriyasu, Hiroshi ; Yu, Jing ; Wee, Marvin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:49:y:2018:i:c:p:103-128.

    Full description at Econpapers || Download paper

  4. Market liquidity and bank-dominated corporate governance: Evidence from Japan. (2014). Watanabel, Naoki ; Sakawa, Hideaki ; Ubukata, Masato.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:31:y:2014:i:c:p:1-11.

    Full description at Econpapers || Download paper

  5. The market microstructure of the European climate exchange. (2014). Otsubo, Yoichi ; Mizrach, Bruce.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:39:y:2014:i:c:p:107-116.

    Full description at Econpapers || Download paper

  6. Price discovery in the Italian sovereign bonds market: the role of order flow. (2013). Girardi, Alessandro ; Impenna, Claudio .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_906_13.

    Full description at Econpapers || Download paper

  7. Rethinking Capital Structure Arbitrage. (2012). Avino, Davide.
    In: MPRA Paper.
    RePEc:pra:mprapa:42850.

    Full description at Econpapers || Download paper

  8. Price Discovery of Credit Spreads in Tranquil and Crisis Periods. (2012). Avino, Davide.
    In: MPRA Paper.
    RePEc:pra:mprapa:42847.

    Full description at Econpapers || Download paper

  9. When is there a strong transfer risk from the sovereigns to the corporates? Property rights gaps and CDS spreads. (2012). Wei, Shang-Jin.
    In: Staff Reports.
    RePEc:fip:fednsr:579.

    Full description at Econpapers || Download paper

  10. Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis. (2012). Rittler, Daniel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:774-785.

    Full description at Econpapers || Download paper

  11. Accruals quality and analyst coverage. (2012). Lobo, Gerald J. ; Song, Minsup ; Stanford, Mary .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:2:p:497-508.

    Full description at Econpapers || Download paper

  12. Electronic versus open outcry trading in agricultural commodities futures markets. (2011). Kittiakarasakun, Jullavut ; Tse, Yiuman ; Martinez, Valeria ; Gupta, Paramita .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:20:y:2011:i:1:p:28-36.

    Full description at Econpapers || Download paper

  13. An analysis of Japanese earnings forecast revisions with application to seasoned equity offerings. (2011). Yang, Sheng-Yung ; Chan, Justin S. P., ; Goh, Jeremy ; Caton, Gary L..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:3:p:376-387.

    Full description at Econpapers || Download paper

  14. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2011). Menkhoff, Lukas ; Fricke, Christoph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072.

    Full description at Econpapers || Download paper

  15. Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System. (2011). Girardi, Alessandro ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1139.

    Full description at Econpapers || Download paper

  16. Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System. (2011). Girardi, Alessandro ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3525.

    Full description at Econpapers || Download paper

  17. The sovereign credit default swap market: price discovery, volumes and links with banks risk premia. (2011). Carboni, Alessandro .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_821_11.

    Full description at Econpapers || Download paper

  18. Price discovery in the Indian gold futures market. (2010). Chaihetphon, Piyamas ; Pavabutr, Pantisa.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:34:y:2010:i:4:p:455-467.

    Full description at Econpapers || Download paper

  19. Trading costs and price discovery. (2010). Choy, Siu-Kai ; Zhang, Hua.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:34:y:2010:i:1:p:37-57.

    Full description at Econpapers || Download paper

  20. Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?. (2010). Phylaktis, Kate ; Chen, Long.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:228-246.

    Full description at Econpapers || Download paper

  21. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. (2010). Zhang, Yue-Jun ; Wei, Yi-Ming.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:35:y:2010:i:3:p:168-177.

    Full description at Econpapers || Download paper

  22. News announcements and price discovery in foreign exchange spot and futures markets. (2010). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1628-1636.

    Full description at Econpapers || Download paper

  23. The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand. (2010). Tourani-Rad, Alireza ; Gilbert, Aaron ; Frijns, Bart.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:3:p:498-508.

    Full description at Econpapers || Download paper

  24. A structural analysis of price discovery measures. (2010). Yan, Bingcheng ; Zivot, Eric .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:1:p:1-19.

    Full description at Econpapers || Download paper

  25. Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks. (2010). Phylaktis, Kate ; Korczak, Piotr.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:566-584.

    Full description at Econpapers || Download paper

  26. Modelling and measuring price discovery in commodity markets. (2010). Gonzalo, Jesus ; Figuerola-Ferretti, Isabel .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:95-107.

    Full description at Econpapers || Download paper

  27. Price Formation on the EuroMTS Platform. (2010). Girardi, Alessandro ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2938.

    Full description at Econpapers || Download paper

  28. Price discovery in spot and futures markets: A reconsideration. (2009). Theissen, Erik.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200927.

    Full description at Econpapers || Download paper

  29. Price discovery on traded inflation expectations: does the financial crisis matter?. (2009). Schulz, Alexander ; Stapf, Jelena .
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:200925.

    Full description at Econpapers || Download paper

  30. A closer look at co-movements among stock returns. (2009). Zebedee, Allan A. ; Kasch-Haroutounian, Maria .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:61:y::i:4:p:279-294.

    Full description at Econpapers || Download paper

  31. Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS. (2009). Pea, Juan Ignacio ; Forte, Santiago.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2013-2025.

    Full description at Econpapers || Download paper

  32. Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets. (2009). Inada, Masakazu ; Baba, Naohiko .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:616-632.

    Full description at Econpapers || Download paper

  33. Single-stock futures: Evidence from the Indian securities market. (2009). Kumar, Umesh ; Tse, Yiuman.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:20:y:2009:i:3:p:220-234.

    Full description at Econpapers || Download paper

  34. Price discovery in tick time. (2009). Frijns, Bart ; Schotman, Peter .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:759-776.

    Full description at Econpapers || Download paper

  35. International price discovery in the presence of microstructure noise. (2008). Peter, Franziska J. ; Grammig, Joachim G..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200850.

    Full description at Econpapers || Download paper

  36. International price discovery in the presence of market microstructure effects. (2008). Grammig, Joachim ; Peter, Franziska J..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0810.

    Full description at Econpapers || Download paper

  37. Modelling Adverse Selection on Electronic Order-Driven Markets. (2008). Michayluk, David ; Hall, Anthony ; Mercorelli, Louis R..
    In: Research Paper Series.
    RePEc:uts:rpaper:220.

    Full description at Econpapers || Download paper

  38. The Informational Content of Trades on the EuroMTS Platform.. (2008). Girardi, Alessandro.
    In: ISAE Working Papers.
    RePEc:isa:wpaper:97.

    Full description at Econpapers || Download paper

  39. Information shares in the US Treasury market. (2008). Neely, Christopher ; Mizrach, Bruce.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:7:p:1221-1233.

    Full description at Econpapers || Download paper

  40. Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence. (2008). Gurun, Umit ; Booth, Geoffrey G..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:131-144.

    Full description at Econpapers || Download paper

  41. A Structural Analysis of Price Discovery Measures. (2007). Yan, Bingcheng ; Zivot, Eric .
    In: Working Papers.
    RePEc:udb:wpaper:uwec-2006-08-fc.

    Full description at Econpapers || Download paper

  42. Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS. (2007). Inada, Masakazu ; Baba, Naohiko .
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:07-e-06.

    Full description at Econpapers || Download paper

  43. The microstructure of the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-052.

    Full description at Econpapers || Download paper

  44. Information shares in the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-070.

    Full description at Econpapers || Download paper

  45. Determining the contributions to price discovery for Chinese cross-listed stocks. (2007). CHONG, Terence Tai Leung ; Su, Qian.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:15:y:2007:i:2:p:140-153.

    Full description at Econpapers || Download paper

  46. Price discovery and informational efficiency of international iShares funds. (2007). Martinez, Valeria ; Tse, Yiuman.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2007:i:1:p:1-15.

    Full description at Econpapers || Download paper

  47. Price Discovery in Canadian Government Bond Futures and Spot Markets. (2007). Hendry, Scott ; Campbell, Bryan ; Chung, Christopher.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-4.

    Full description at Econpapers || Download paper

  48. Multi-market trading in the Eurodollar futures market. (2006). Tse, Yiuman ; Bandyopadhyay, Paramita.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:26:y:2006:i:3:p:321-341.

    Full description at Econpapers || Download paper

  49. Price discovery in the foreign currency futures and spot market. (2006). Rosenberg, Joshua ; Traub, Leah G..
    In: Staff Reports.
    RePEc:fip:fednsr:262.

    Full description at Econpapers || Download paper

  50. Breaks and persistency: macroeconomic causes of stock market volatility. (2006). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:151-177.

    Full description at Econpapers || Download paper

  51. Effects of electronic trading on the Hang Seng Index futures market. (2005). Tse, Y. K. ; Lien, Donald ; Fung, Joseph K. W., .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:14:y:2005:i:4:p:415-425.

    Full description at Econpapers || Download paper

  52. Market quality and price discovery: Introduction of the E-mini energy futures. (2005). Xiang, JU ; Tse, Yiuman.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:16:y:2005:i:2:p:164-179.

    Full description at Econpapers || Download paper

  53. Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Schlag, Christian ; Melvin, Michael ; Grammig, Joachim.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

    Full description at Econpapers || Download paper

  54. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:upo:upopwp:20.

    Full description at Econpapers || Download paper

  55. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. (2004). Marsh, Ian ; Blanco, Roberto .
    In: Bank of England working papers.
    RePEc:boe:boeewp:211.

    Full description at Econpapers || Download paper

  56. Stalking the efficient price in market microstructure specifications: an overview. (2002). Hasbrouck, Joel .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:5:y:2002:i:3:p:329-339.

    Full description at Econpapers || Download paper

  57. Some desiderata for the measurement of price discovery across markets. (2002). Lehmann, Bruce N..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276.

    Full description at Econpapers || Download paper

  58. Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness. (2000). Bhanot, Karan ; Ning, Zi ; Tse, Yiuman ; Martinez, Valeria.
    In: Working Papers.
    RePEc:tsa:wpaper:0032.

    Full description at Econpapers || Download paper

  59. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 01:38:31 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.