search query: @author Masih, R. / total: 5
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| Author: | Hodgson, A. Masih, A. Masih, R. |
| Title: | Price discovery between informationally linked markets during different trading phases |
| Journal: | Journal of Financial Research
2003 : SPRING, VOL. 26:1, p. 77-95 |
| Index terms: | Futures markets Information Prices Stock markets Trading Australia |
| Language: | eng |
| Abstract: | The authors examine the dynamic nature of the price information transfer when stock and futures markets switch between price trading phases. Australian stock indexes and share price index futures contract data is decomposed into bear- and bull-market phases and the change in the power of the bidirectional information feedback between the futures market and small, medium, and large stocks is analyzed. |
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