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INTERNATIONAL TRANSFER OF PRICING INFORMATION BETWEEN DUALLY LISTED STOCKS
16 references·6 citing·43 second hop
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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1991Multimarket Trading and Market Liquidity597 cited
  • 1980Advertising and Aggregate Consumption: An Analysis of Causality548 cited
  • 1993Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement506 cited
  • 1992The International Crash of October 1987: Causality Tests275 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
  • 1993Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence145 cited
  • 1991After-Hours Stock Prices and Post-Crash Hangovers

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73 cited
  • 1995Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange68 cited
  • Cited by

    • 2008Economic linkages across commodity futures: Hedging and trading implications92 cited
    • 2018Spillovers of volatility index: evidence from U.S., European, and Asian stock markets44 cited
    • 2002Information and volatility linkage under external shocks35 cited
    • 2003International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs33 cited
    • 2010Do International Cross-Listings Still Matter?31 cited
    • 2003Legal Plug-Ins: Cultural Distance, Cross-Listing, and Corporate Governance Reform29 cited