One Security, Many Markets: Determining the Contributions to Price Discovery
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1995.tb04054.x/fullpdf
Reference51 articles.
1. Stealth trading and volatility: Which trades move prices?;Barclay;Journal of Financial Economics,1993
2. Price changes of related securities: The case of call options and stocks;Bhattacharya;Journal of Financial and Quantitative Analysis,1987
3. Common nonstationary components of asset prices;Bossaerts;Journal of Economic Dynamics and Control,1988
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