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ArticleCommon factor components versus information shares: a reply

Frederick H. deB. Harris2002

Article2002

Common factor components versus information shares: a reply

Frederick H. deB. Harris · Thomas H. McInish

85 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1995One Security, Many Markets: Determining the Contributions to Price Discovery 1998Optimal control of execution costs 1995Estimation of Common Long-Memory Components in Cointegrated Systems 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks 2002Stalking the “efficient price” in market microstructure specifications: an overview 2002Measures of contributions to price discovery: a comparison 1995Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation

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2018Price Discovery in High Resolution 2007Price discovery in the U.S. stock and stock options markets: A portfolio approach 2015The determinants of price discovery: Evidence from US-Canadian cross-listed shares 2003Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock 2016Price discovery in the S&P 500 index derivatives markets

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2004Price discovery in the hang seng index markets: Index, futures, and the tracker fundarticle · 6 shared references 2003Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stockarticle · 6 shared references 2012How smooth is price discovery? Evidence from cross-listed stock tradingarticle · 6 shared references 2010News announcements and price discovery in foreign exchange spot and futures marketsarticle · 5 shared references 2009A new information share measurearticle · 5 shared references 2006Cross-listing, price discovery and the informativeness of the trading processarticle · 5 shared references

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations85

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1386-4181(02)00030-7

openalex_workW2046834752

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2003International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs

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2005Basket Securities, Price Formation, and Informational Efficiency