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A characterization of the price behavior of international dual stocks: an error correction approach
10 references·15 citing·43 second hop
A characterization of the price behavior of international dual stocks: an error correction approach (1999)A characterization of the price behavior …The International Crash of October 1987: Causality Tests (1992)The International Crash of Oc…Multimarket Trading and Market Liquidity (1991)Multimarket Trading and Marke…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk (1979)Structural Organization of Se…Dominant and Satellite Markets: A Study of Dually-Traded Securities (1979)Dominant and Satellite Market…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…The intraday dynamics and intraday price discovery of bitcoin (2022)The intraday dynamics and int…The determinants of price discovery: Evidence from US-Canadian cross-listed shares (2015)The determinants of price dis…Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms (2014)Macroeconomic news announceme…On the dynamics of tracking indices by exchange traded funds in the presence of high volatility (2012)On the dynamics of tracking i…Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects (2010)Stock Market Integration: Gra…Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks (2010)Related securities and price …Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets (2010)Housewives of Tokyo versus th…The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand (2009)The dynamics of price discove…Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality? (2009)Price Discovery for Segmented…American depositary receipts: Asia–Pacific evidence on convergence and dynamics (2008)American depositary receipts:…The intraday price behaviour of Australian and New Zealand cross-listed stocks (2006)The intraday price behaviour …The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks (2004)The Role of U.S. Trading in P…International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs (2003)International Price Discovery…Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Security price adjustment acr…Return and volatility behavior of dually-traded stocks: the case of Hong Kong (2002)Return and volatility behavio…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Econometrics of Financial Markets (1997)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Realized Variance and Market Microstructure Noise (2004)Realized Variance and Market Microstructure Noise (2006)The Econometrics of Financial Markets (2012)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Transmission of Volatility between Stock Markets (1990)Rational herding in financial economics (1996)Market microstructure: A survey (2000)Market Liquidity and Trading Activity (2001)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)The structure of interdependence in international stock markets (2003)An Engine, Not a Camera (2006)Market microstructure (1976)Optimal dealer pricing under transactions and return uncertainty (1981)The economics of networks (1996)Commonality in liquidity (2000)International Diversification of Investment Portfolios (1970)Macroeconomics and Reality (1980)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1992The International Crash of October 1987: Causality Tests276 cited
  • 1979Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk174 cited
  • 1979Dominant and Satellite Markets: A Study of Dually-Traded Securities154 cited

Cited by

  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 2009The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand78 cited
  • 2002Return and volatility behavior of dually-traded stocks: the case of Hong Kong69 cited
  • 2010Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks

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57 cited
  • 2015The determinants of price discovery: Evidence from US-Canadian cross-listed shares44 cited
  • 2014Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms44 cited
  • 2010Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects43 cited
  • 2009Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?37 cited
  • 2006The intraday price behaviour of Australian and New Zealand cross-listed stocks37 cited
  • 2010Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets36 cited
  • 2004The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks34 cited
  • 2003International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs33 cited
  • 2012On the dynamics of tracking indices by exchange traded funds in the presence of high volatility27 cited
  • 2022The intraday dynamics and intraday price discovery of bitcoin19 cited
  • 2008American depositary receipts: Asia–Pacific evidence on convergence and dynamics15 cited