Price discovery in floor and screen trading systems

Journal of Empirical Finance - Tập 9 Số 4 - Trang 455-474 - 2002
Erik Theissen1
1University of Bonn, BWL 1, Adenauerallee 24-42, 53113 Bonn, Germany

Tóm tắt

Từ khóa


Tài liệu tham khảo

Breedon, F., Holland, A., 1998. Electronic versus Open Outcry Markets: The Case of the Bund Futures Contract, Working Paper No. 76, Bank of England, January.

Bühler, 1995, Parkett und Computer im Preisfindungsprozeβ, Zeitschrift für Bankrecht und Bankwirtschaft, 7, 234, 10.15375/zbb-1995-0302

Ding, 1999, An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore, Journal of Multinational Financial Management, 9, 317, 10.1016/S1042-444X(99)00005-5

Domowitz, 1993, Automating the continuous double auction in practice: automated trade execution systems in financial markets, 27

Domowitz, 1999, Automation, trading costs, and the structure of the trading services industry, Brookings–Wharton Papers on Financial Services, 33

Engle, 1987, Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251, 10.2307/1913236

Fraser Jenkins, I., 1998. Open Outcry versus Electronic Screen Trading: A Comparison of Trading on LIFFE and the DTB between 1995 and 1998, Working Paper, Bank of England.

Freihube, 2001, An index is an index is an index?, Schmalenbach Business Review, 53, 295, 10.1007/BF03396640

Freihube, 1999, Was leisten die Kursmakler? Eine empirische Untersuchung am Beispiel der Frankfurter Wertpapierbörse, Kredit und Kapital, 32, 426

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

Grünbichler, 1994, Electronic screen trading and the transmission of information: an empirical examination, Journal of Financial Intermediation, 3, 166, 10.1006/jfin.1994.1002

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

Harris, F., McInish, T., Wood, R., 1997. Common Long Memory Components of Intraday Stock Prices: A Measure of Price Discovery. Working Paper, Wake Forest University.

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

Huang, 1996, Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE, Journal of Financial Economics, 41, 313, 10.1016/0304-405X(95)00867-E

Johansen, 1988, The mathematical structure of error correction models, Contemporary Mathematics, 80, 359, 10.1090/conm/080/999021

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

Kehr, 1997

Kempf, 1998, Trading system and market integration, Journal of Financial Intermediation, 7, 220, 10.1006/jfin.1998.0244

Kirchner, 1999

Kirchner, 1998, An explorative investigation of Intraday trading on the German stock market, Finanzmarkt und Portfolio Management, 12, 13

Kofman, 1997, Spreads, information flows and transparency across trading systems, Applied Financial Economics, 7, 281, 10.1080/096031097333646

Martens, 1998, 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

Schmidt, 1993, Parkett oder Computer?, Zeitschrift für Bankrecht und Bankwirtschaft, 5, S.209, 10.15375/zbb-1993-0402

Schwarz, 1994, Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis, Journal of Futures Markets, 14, 147, 10.1002/fut.3990140204

Shyy, 1995, Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB, Journal of Futures Markets, 15, 87, 10.1002/fut.3990150108

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

Stucki, 1994, Stock and option markets: the Swiss evidence, Journal of Banking and Finance, 18, 881, 10.1016/0378-4266(94)00028-X

Theissen, 2002, Floor versus screen trading: evidence from the German stock market, Journal of Institutional and Theoretical Economics, 158, 32, 10.1628/0932456022975484