haku: @author Theissen, E. / yhteensä: 11
viite: 5 / 11
| Tekijä: | Theissen, E. |
| Otsikko: | Price discovery in floor and screen trading systems |
| Lehti: | Journal of Empirical Finance
2002 : NOV, VOL. 9:4, p. 455-474 |
| Asiasana: | Stock markets Trading Prices Germany Europe |
| Kieli: | eng |
| Tiivistelmä: | This paper analyzes price discovery in floor-based and electronic exchanges using data from the German stock market. It is found that both markets contribute to price discovery. There is bidirectional Granger causality, and prices from both markets adjust to deviations from the long-run equilibrium. Two different measures of the contributions to price discovery are used, the information share proposed by Hasbrouck in Journal of Finance 1995: 50, 1175, and the weights with which the series enter the common long memory component as defined by Gonzalo and Granger in Journal of Business and Economic Statistics 1995: 13, 27. The contributions of the two trading systems to the process of price discovery are almost equal when transaction prices are used for the estimation. |
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