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The impact of transaction costs on price discovery · Study

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ArticleThe impact of transaction costs on price discovery

Alex Frino2003

Article2003

The impact of transaction costs on price discovery

Alex Frino · Andrew G. West

36 citations·0/0 files stored·Pacific-Basin Finance Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1990The Dynamics of Stock Index and Stock Index Futures Returns 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index

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2014Daily seasonality in crude oil returns and volatilities 2016Price discovery of cross-listed firms

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Details

Year2003

Typearticle

Published2003-03-25

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations36

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0927-538x(02)00111-7

openalex_workW2187695855

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