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Intraday Price Formation in U.S. Equity Index Markets. (2003). Hasbrouck, Joel.
In: Journal of Finance.
RePEc:bla:jfinan:v:58:y:2003:i:6:p:2375-2400.

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  53. Directed Acyclic Graph based Information Shares for Price Discovery. (2020). Zema, Sebastiano Michele.
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  56. Price discovery in bitcoin futures. (2020). Papadamou, Stephanos ; Fassas, Athanasios ; Koulis, Alexandros.
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  59. The price of international equity ETFs: The role of relative liquidity. (2020). Weisskopf, Jean-Philippe ; Atanasova, Christina.
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  69. Quantile information share. (2019). Wang, Zijun ; Lien, Donald.
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  72. Price discovery of German index derivatives during financial turmoil. (2019). Frommherz, Anja.
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  73. Price discovery on Bitcoin markets. (2019). Dimpfl, Thomas ; Pagnottoni, Paolo.
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  74. Variance Disparity and Market Frictions. (2019). Park, Yang-Ho.
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  75. Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets. (2019). Jiang, Xiong-Fei ; Li, Sai-Ping ; Cai, Mei-Ling ; Ren, Fei.
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  76. The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes. (2019). Yin, Xiangkang ; Xu, Liao ; Zhao, Jing.
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  77. Price discrimination against retail Investors: Evidence from mini options. (2019). Zhong, Zhaodong ; Li, Yubin ; Zhao, Chen.
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  78. The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market. (2019). Wu, Lei ; Zeng, Hong Chao.
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  79. The Impact of ETFs on Asset Markets: Experimental Evidence. (2019). Rud, Olga ; Rabanal, Jean Paul ; Duffy, John.
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  80. Market timing under public and private information. (2019). Rud, Olga ; Rabanal, Jean Paul ; Horowitz, John ; Sharifova, Manizha ; Chernulich, Aleksei.
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  81. An analysis on the intraday trading activity of VIX derivatives. (2018). TSAI, WEI-CHE ; Wang, Yawa Huei ; Yen, Kuanga Chieh ; Kao, Diana Xuan.
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  82. Need for speed: Hard information processing in a high‐frequency world. (2018). Zhang, S. Sarah.
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  83. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
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  85. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
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  86. Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach. (2018). Miralles Quirós, José ; Manso, Jose Ramos ; Miralles-Quiros, Jose Luis ; Monteiro, Joao Dionisio.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:68:y:2018:i:1:p:71-98.

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  87. Equivalent volume and comovement. (2018). Sottile, Pedro ; Staer, Arsenio.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:143-157.

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  88. The lead-lag relationships between spot and futures prices of natural gas. (2018). Zhang, Yahui ; Liu, LI.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:490:y:2018:i:c:p:203-211.

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  89. Global price discovery in the Australian dollar market and its determinants. (2018). Zhang, Jingjing ; Su, Fei.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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  90. Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets. (2018). Chou, Robin K ; Lin, Chu-Bin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:90:y:2018:i:c:p:17-31.

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  91. Do ETFs lead the price moves? Evidence from the major US markets. (2018). Guo, Qian ; Buckle, Mike ; Chen, Jing ; Tong, Chen.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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  92. The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Tourani-Rad, Alireza ; Frijns, Bart ; Indriawan, Ivan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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  93. Relative spread and price discovery. (2018). Lee, Seung ; Aldrich, Eric M.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:81-98.

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  94. Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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  95. The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Lin, Shuling ; Lu, Jun ; Wu, Chih-Chiang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166.

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  96. Is there a dark side to exchange traded funds? An information perspective. (2017). Lee, Charles ; Sridharan, Suhas A ; Israeli, Doron.
    In: Review of Accounting Studies.
    RePEc:spr:reaccs:v:22:y:2017:i:3:d:10.1007_s11142-017-9400-8.

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  97. The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market. (2017). Liu, Qiang ; Qiao, Gaoxiu.
    In: Empirical Economics.
    RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1115-3.

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  98. Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets. (2017). Hou, Yang ; Li, Steven.
    In: MPRA Paper.
    RePEc:pra:mprapa:81999.

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  99. Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash. (2017). Nartea, Gilbert ; Hou, Yang.
    In: MPRA Paper.
    RePEc:pra:mprapa:81995.

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  100. On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Herrmann, Klaus ; Krauss, Christopher.
    In: JRFM.
    RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

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  101. Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Dias, Gustavo Fruet ; Scherrer, Cristina Mabel.
    In: Textos para discussão.
    RePEc:fgv:eesptd:444.

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  102. Overnight returns of stock indexes: Evidence from ETFs and futures. (2017). Tse, Yiuman ; Liu, Qingfu.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:48:y:2017:i:c:p:440-451.

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  103. Role of index futures on Chinas stock markets: Evidence from price discovery and volatility spillover. (2017). Wang, Tianyang ; Miao, Hong ; Ramchander, Sanjay ; Yang, Dongxiao.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:44:y:2017:i:c:p:13-26.

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  104. Intraday price discovery in fragmented markets. (2017). van der Wel, Michel ; van Dijk, Dick ; Ozturk, Sait.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48.

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  105. Does ETF trading affect the efficiency of the underlying index?. (2017). Yin, Xiangkang ; Xu, Liao.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:51:y:2017:i:c:p:82-101.

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

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  107. Determinants of price discovery in the VIX futures market. (2017). TSAI, WEI-CHE ; Chen, Yu-Lun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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  108. Mixed-scale jump regressions with bootstrap inference. (2017). Tauchen, George ; Todorov, Viktor ; Li, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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  109. An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Zheng, Hui ; Hatheway, Frank ; Kwan, Amy.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00.

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  110. Does the T + 1 rule really reduce speculation? Evidence from Chinese Stock Index ETF. (2017). Liu, Yan ; Chen, Xinyun ; Zeng, Tao.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:57:y:2017:i:5:p:1287-1313.

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  111. Systemwide Commonalities in Market Liquidity. (2016). Flood, Mark ; Piontek, Thomas ; Liechty, John C.
    In: Working Papers.
    RePEc:ofr:wpaper:15-11.

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  112. Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market. (2016). Lee, Soonhee ; Kang, Jangkoo.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:52:y:2016:i:10:p:2335-2347.

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  113. The day the index rose 11 %: a clinical study on price discovery reversal. (2016). Lobe, Sebastian ; Roder, Klaus ; Schmidhammer, Christoph.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:46:y:2016:i:1:p:79-106.

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  114. The day the index rose 11 %: a clinical study on price discovery reversal. (2016). Lobe, Sebastian ; Roder, Klaus ; Schmidhammer, Christoph.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:46:y:2016:i:1:d:10.1007_s11156-014-0462-4.

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  115. Price discovery in the S&P 500 index derivatives markets. (2016). Chen, Wei-Peng ; Chung, Huimin ; Lien, Donald.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:45:y:2016:i:c:p:438-452.

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  116. Incremental information of stock indicators. (2016). VORTELINOS, DIMITRIOS.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97.

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  117. The lead–lag relationship between stock index and stock index futures: A thermal optimal path method. (2016). Ji, Shen-Dan ; Li, Sai-Ping ; Su, Li-Ling ; Ren, Fei ; Gong, Chen-Chen .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:444:y:2016:i:c:p:63-72.

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  118. Does the Boxed Beef Price Inform the Live Cattle Futures Price?. (2016). Garcia, Philip ; Peterson, Paul E ; Joseph, Kishore.
    In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts.
    RePEc:ags:aaea16:236166.

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  119. Component shares in continuous time. (2016). Fernandes, Marcelo ; Dias, Gustavo Fruet ; Scherrer, Cristina M.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-25.

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  120. On the power and size properties of cointegration tests in the light of high-frequency stylized facts. (2015). Herrmann, Klaus ; Krauss, Christopher ; Teis, Stefan.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:112015.

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  121. Price Discovery in Brazilian FX Markets. (2015). Medeiros, Marcelo ; Garcia, Marcio ; Pinto, Marcio Gomes ; Santos, Francisco Luna.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:35:y:2015:i:1:a:46423.

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  122. Quantitative Easingand U.S. Financial Asset Returns. (2015). Guo, Joanne .
    In: Journal of Economics Bibliography.
    RePEc:ksp:journ6:v:2:y:2015:i:3:p:76-105.

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  123. Earnings announcements, trading volume, and price discovery: evidence from dual class firms. (2015). Wang, Qin ; Yang, Hsiao-Fen.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:44:y:2015:i:4:p:669-700.

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  124. Cash-futures basis and the impact of market maturity, informed trading, and expiration effects. (2015). Lin, Emily ; Chang, Charles.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:35:y:2015:i:c:p:197-213.

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  125. Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data. (2015). Ho, Tsung-Wu ; Fung, Hung-Gay ; Kao, Erin H..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:34:y:2015:i:c:p:321-336.

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  126. Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:26:y:2015:i:c:p:38-63.

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  127. The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China. (2015). Xu, Feng ; Wan, Difang.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:15:y:2015:i:c:p:221-231.

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  128. Intraday Price Discovery in Fragmented Markets. (2014). van der Wel, Michel ; Ozturk, Sait.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140027.

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  129. The real benchmark of DAX index products and the influence of information dissemination: A natural experiment. (2014). Lobe, Sebastian ; Roder, Klaus ; Schmidhammer, Christoph.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:15:y:2014:i:2:d:10.1057_jam.2014.13.

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  130. The Empirical Analysis of Liquidity. (2014). Subrahmanyam, Avanidhar ; Jacobsen, Stacey ; Holden, Craig W..
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000044.

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  131. The Effect of Regulation Fair Disclosure on Market Integration. (2014). Chelikani, Surya ; D'Souza, Frank P..
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:8:y:2014:i:4:p:43-62.

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  132. Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216.

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  133. The relative contribution of ask and bid quotes to price discovery. (2014). PASCUAL, ROBERTO ; Pascual-Fuster, Bartolomé.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:20:y:2014:i:c:p:129-150.

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  134. Price discovery in crude oil futures. (2014). Miao, Hong ; Elder, John ; Ramchander, Sanjay.
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s18-s27.

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  135. Trading activity in the equity market and its contingent claims: An empirical investigation. (2014). Subrahmanyam, Avanidhar ; Roll, Richard ; Schwartz, Eduardo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:13-35.

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  136. A Compound Multifractal Model for High-Frequency Asset Returns. (2014). Aldrich, Eric ; Heckenbach, Indra ; Laughlin, Gregory.
    In: BYU Macroeconomics and Computational Laboratory Working Paper Series.
    RePEc:byu:byumcl:201405.

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  137. The Random Walk of High Frequency Trading. (2014). Aldrich, Eric ; Heckenbach, Indra ; Laughlin, Gregory.
    In: Papers.
    RePEc:arx:papers:1408.3650.

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  138. The influence of ETFs on the price discovery of gold, silver and oil. (2013). Ivanov, Stoyu .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:37:y:2013:i:3:p:453-462.

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  139. Volatility of volatility and tail risk premiums. (2013). Park, Yang-Ho.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-54.

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  140. Price discovery between regular and mini index futures in the Taiwan Futures Exchange. (2013). Wang, Yun-Yi ; Lee, Wan-Chen ; Chang, Chiung-Chiao .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:224-237.

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  141. Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery. (2013). Ivanov, Stoyu I. ; Zaima, Janis K. ; Jones, Frank J..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:24:y:2013:i:3:p:171-187.

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  142. Mutual Funds. (2013). Gruber, Martin J ; Elton, Edwin J.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1011-1061.

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  143. Autocorrelation and partial price adjustment. (2013). Hahn, Sang Buhm ; Anderson, Robert M. ; Eom, Kyong Shik ; Park, Jong-Ho.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:24:y:2013:i:c:p:78-93.

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  144. Informational role of market makers: The case of exchange traded CFDs. (2013). Lepone, Andrew ; Yang, Jin Young.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:84-92.

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  145. Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID. (2012). von Wyss, Rico ; Kohler, Alexander.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:09.

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  146. Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market. (2012). .
    In: Working Papers.
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  147. The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds. (2012). Hood, Matthew ; Small, Kenneth ; Wansley, James .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:36:y:2012:i:2:p:261-281.

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  148. The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA. (2012). Ozuna, Teofilo ; Simpson, Marc ; Moreno, Jose.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:38:y:2012:i:3:p:347-365.

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  149. The Relative Contemporaneous Information Response: A New Cointegration-Based Measure of Price Discovery. (2012). Sebastião, Helder ; Sebastio, Helder.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2012-04.

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  150. Mercados futuro e à vista de cmbio no Brasil: O rabo balança o cachorro. (2012). Garcia, Marcio ; Garcia, Marcio Gomes Pinto, ; Ventura, Andre .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:66:y:2012:i:1:a:1907.

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  151. Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro. (2012). Marcio Gomes Pinto Garcia, ; Ventura, Andre .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:66:n:1:a:2.

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  152. Intraday trading activities and volatility in round-the-clock futures markets. (2012). Fung, Hung-Gay ; Kao, Erin H..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:21:y:2012:i:1:p:195-209.

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  153. Estimating the Leverage Effect Using High Frequency Data. (2012). Russi, Guido .
    In: Review of Economics & Finance.
    RePEc:bap:journl:120101.

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  154. Price discovery in spot and futures markets: A reconsideration. (2011). Theissen, Erik.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0917r.

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  155. Provably linkable trading. (2011). Camenisch, Jan ; Kenyon, Chris.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:5:p:641-651.

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  156. Time-varying price discovery in fragmented markets. (2011). Taylor, Nick.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:10:p:717-734.

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  157. Returns in trading versus non-trading hours: The difference is day and night. (2011). Kelly, Michael ; Clark, Steven P.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:12:y:2011:i:2:d:10.1057_jam.2011.2.

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  158. Geographic proximity and price discovery: Evidence from NASDAQ. (2011). Madureira, Leonardo ; Gatchev, Vladimir A. ; Underwood, Shane ; Pirinsky, Christo A. ; Anand, Amber.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:2:p:193-226.

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  159. Measuring price discovery: The variance ratio, the R2, and the weighted price contribution. (2011). van Bommel, Jos ; Jos, van Bommel .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:8:y:2011:i:3:p:112-119.

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  160. Insider Trading and Option Grant Timing in Response to Fire Sales (and Purchases) of Stocks by Mutual Funds. (2011). Zhou, Yibin ; WEI, KELSEY D. ; Ali, Ashiq.
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:49:y:2011:i:3:p:595-632.

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  161. What Is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias Against Income-Generating Assets. (2010). Borgman, Richard ; Agrrawal, Pankaj.
    In: EconStor Open Access Articles and Book Chapters.
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  162. A Note on the Pricing of Liquidity in Stock Returns. (2010). Mirza, Nawazish.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:15:y:2010:i:2:p:135-147.

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  163. 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.

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  164. An empirical investigation of the speed of information aggregation: a study of IPOs. (2010). van Bommel, Jos ; Shi, Zhihong ; Dahya, Jay.
    In: International Journal of Banking, Accounting and Finance.
    RePEc:ids:injbaf:v:2:y:2010:i:1:p:47-79.

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  165. Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets. (2010). Hsu, Shufang ; Chung, Huimin ; Sheu, Her-Jiun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:4:p:742-754.

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  166. Do benchmark African equity indices exhibit the stylized facts?. (2010). Li, Youwei ; Hamill, Philip A. ; Opong, Kwaku K..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:21:y:2010:i:1:p:71-97.

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

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  168. INFORMATION SPILLOVERS IN THE SPOT AND ETF INDICES IN TAIWAN. (2009). Liau, Yung-Shi ; Jack J. W. Yang, ; Wang, Chien-Cheng .
    In: Global Journal of Business Research.
    RePEc:ibf:gjbres:v:3:y:2009:i:1:p:117-131.

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  169. Does beta move with news? Systematic risk and firm-specific information flows. (2009). Patton, Andrew ; Verardo, Michela.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24421.

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  170. 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.

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  171. Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications. (2009). Timmermann, Allan ; LIU, JUN.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7188.

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  172. Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses. (2008). Leung, Mark ; Gao, Hui-Jyuan ; Chen, An-Sing.
    In: Working Papers.
    RePEc:tsa:wpaper:0084mss.

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  173. Exchange Traded Funds: History, Trading and Research. (2008). DEVILLE, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00162223.

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  174. The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems. (2008). Sebastião, Helder ; Sebastios, Helder.
    In: GEMF Working Papers.
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  175. INFORMATION AND NOISE IN FINANCIAL MARKETS: EVIDENCE FROM THE E‐MINI INDEX FUTURES. (2008). Kurov, Alexander.
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  179. A note on the importance of overnight information in risk management models. (2007). Taylor, Nick.
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  181. Stock Return Autocorrelation is Not Spurious. (2007). Hahn, Sang Buhm ; Anderson, Robert M ; Eom, Kyong Shik ; Park, Jong-Ho.
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  183. Price Discovery in Canadian Government Bond Futures and Spot Markets. (2007). Hendry, Scott ; Chung, Christopher ; Campbell, Bryan.
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  187. Multi-market trading in the Eurodollar futures market. (2006). Tse, Yiuman ; Bandyopadhyay, Paramita.
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  188. Price discovery in the U.S. stock and stock options markets: A portfolio approach. (2006). Wu, Liuren ; Simaan, Yusif ; Holowczak, Richard.
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  195. Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index. (2005). Chiang, Min-Hsien ; Lin, Ching-Chung.
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  196. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects. (2005). Ranaldo, Angelo ; Christiansen, Charlotte.
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  197. Market quality and price discovery: Introduction of the E-mini energy futures. (2005). Tse, Yiuman ; Xiang, JU.
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  199. Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE. (2004). Sin, Chor-Yiu.
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  200. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary pol. (2000). Leung, Mark ; Gao, Hui-Jyuan ; Chen, An-Sing.
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  201. Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness. (2000). Ning, ZI ; Tse, Yiuman ; Martinez, Valeria ; Bhanot, Karan.
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