"Price Discovery in the US Stock and Stock Options Markets: A Portfolio Approach." Review of Derivatives Research 9, no. 1 (2006): 37-65.Holowczak, R., Y. E. Simaan, and L. Wu, 2006, "Price discovery in the U.S. stock and stock options markets: A portfolio approach," Review of...
Tick Sizes And Relative Rates Of Price Discovery In Stock, Futures, And Options Markets: Evidence From The Taiwan Stock Exchange This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price-discovery ability of the Ta... YU-LUN...
Using a mispricing events approach and conditioning on the option market being the cause of the mispricing event, I analyse the subsequent behaviour of both the options and equity markets and I find that options markets play an important role in the price discovery process. When conditioning on ...
Current futures prices in one futures market would lead the change of current spot prices. Price discovery can be defined as lead-lag relationship and information flows between two markets. This study examines the price discovery and lead-lag relationship between stock index (ISE 100) and stock ...
Price Discovery across the Stock Index Futures and the ETF Markets:: Intra-Day Evidence from the S&P 500, Nasdaq-100 and DJIA Indices. Erh-Yin Sun.Price Discovery across the Stock Index Futures and the ETF Markets:Intra-Day Evidence From The S&P 500, Nasdaq-100 and DJIA Indices.Review......
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The impact of short sale restrictions on informed trading in the stock and options markets PricediscoveryInformedtradingThis paper examines the impact of short sale restrZurbrueggUnivRalfUnivLeUnivVanUnivNSTLInternational Review of Economics & Finance... Zurbruegg,Ralf,Le,... - 《International Revie...
How quickly and accurately did the stock market process the implications of the space shuttle crash? As an extension, we also attempt to exactly discern how the price discovery unfolded on the day of the crash. Who provided the information that was imbedded in market prices? How valuable was ...
Commonality in trading activity and futures-cash basis: Evidence from the Taiwan futures and stock markets This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relations... HC Lee,CY Chien,TH Liao - 《Journ...
closing call auction improved the price discovery efficiency while the cancelation of the auction led to the decline of the efficiency.This study contributes to the auction theory and provides a valuable reference for the future reform of the trading mechanism in Shanghai and Shenzhen Stock Exchanges...