Information flow and price discovery dynamics-Reference-Cited by-同舟云学术

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Information flow and price discovery dynamics

Published:2020-06-18 Issue:1 Volume:56 Page:329-367
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Wu Lei,Xu Kuan^ORCID,Meng Qingbin

Funder

National Outstanding Youth Science Fund Project of National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-020-00896-8.pdf

Reference41 articles.

1. Adams G, McQueen G, Wood R (2004) The effects of inflation news on high frequency stock returns. J Bus 77(3):547–574. https://doi.org/10.1086/386530

2. Agarwal S, Liu C, Rhee SG (2007) Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London. J Int Money Finance 26(1):46–63. https://doi.org/10.1016/j.jimonfin.2006.10.011

3. Bacidore JM, Sofianos G (2002) Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks. J Financ Econ 63(1):133–158. https://doi.org/10.1016/S0304-405X(01)00092-7

4. Booth GG, So RW, Tse Y (1999) Price discovery in the German equity index derivatives markets. J Fut Mark 19(6):619–643. https://doi.org/10.1002/(SICI)1096-9934(199909)19:6<619::AID-FUT1>3.0.CO;2-M

5. Brogaard J, Hendershott T, Riordan R (2014) High-frequency trading and price discovery. Rev Finac Stud 27(8):2267–2306. https://doi.org/10.1093/rfs/hhu032

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1. Time-Varying Causalities in Prices and Volatilities between the Cross-Listed Stocks in Chinese Mainland and Hong Kong Stock Markets;Mathematics;2022-02-12

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