How much do locals contribute to the price discovery process?

Battalio, 1997, SOES trading and market volatility, Journal of Financial and Quantitative Analysis, 32, 225, 10.2307/2331174

Biais, 1999, Price discovery and learning during the preopening period in the Paris bourse, Journal of Political Economy, 107, 1218, 10.1086/250095

Cao, 2000, Price discovery without trading: evidence from the Nasdaq preopening, Journal of Finance, 55, 1339, 10.1111/0022-1082.00249

Fong, K., 2001. Market transparency and trading strategies. PhD Dissertation, University of Sydney.

Forster, 1992, Anonymity in securities markets, Journal of Financial Intermediation, 2, 168, 10.1016/1042-9573(92)90007-Z

Frino, 2000, An empirical analysis of the supply of liquidity by locals in futures markets: evidence from the Sydney Futures Exchange, Pacific-Basin Finance Journal, 8, 443, 10.1016/S0927-538X(00)00023-8

Gonzalo, 1995, Estimation of common long-memory components in cointegrated systems, Journal of Business and Economic Statistics, 13, 27, 10.2307/1392518

Harris, 1995, Cointegration, error correction, and price discovery on informationally linked security markets, Journal of Financial and Quantitative Analysis, 30, 563, 10.2307/2331277

Hasbrouck, 1995, One security, many markets: determining the contributions to price discovery, Journal of Finance, 50, 1175, 10.2307/2329348

Ito, 1998, Is there private information in the FX market? The Tokyo experiment, Journal of Finance, 53, 1111, 10.1111/0022-1082.00045

Johansen, 1991, Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551, 10.2307/2938278

Johansen, 1995

Lindley, 1957, A statistical paradox, Biometrika, 44, 187, 10.1093/biomet/44.1-2.187

Madhavan, 2000, Price discovery in auction markets: a look inside the black box, Review of Financial Studies, 13, 627, 10.1093/rfs/13.3.627

Manaster, 1996, Life in the pits: competitive market making and inventory control, Review of Financial Studies, 9, 953, 10.1093/rfs/9.3.953

Martens, 1998, Price discovery in high and low volatility periods: open outcry versus electronic trading, Journal of International Financial Markets, Institutions, and Money, 8, 243, 10.1016/S1042-4431(98)00044-4

Massimb, 1994, Electronic trading, market structure and liquidity, Financial Analysts Journal, 50, 39, 10.2469/faj.v50.n1.39

Osterwald-Lenum, 1992, A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54, 461, 10.1111/j.1468-0084.1992.tb00013.x

Phillips, 1988, Testing for a unit root in a time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335

Silber, 1984, Marketmaker behavior in an auction market: an analysis of scalpers in futures markets, Journal of Finance, 39, 937, 10.2307/2327606

Stock, 1988, Testing for common trends, Journal of the American Statistical Association, 83, 1097, 10.2307/2290142