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A market microstructure approach to cross-market spillovers

Author

Listed:
  • Jørgensen, Kjell

    (Norwegian School of Management BI)

  • Valseth, Siri

    (University of Stavanger)

Abstract

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Suggested Citation

  • Jørgensen, Kjell & Valseth, Siri, 2010. "A market microstructure approach to cross-market spillovers," UiS Working Papers in Economics and Finance 2010/11, University of Stavanger.
    • Handle: RePEc:hhs:stavef:2010_011
    as

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    File URL: http://www1.uis.no/ansatt/odegaard/uis_wps_econ_fin/uis_wps_2010_11_jorgensen_valseth.pdf
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    References listed on IDEAS

    as
    1. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    2. Underwood, Shane, 2009. "The cross-market information content of stock and bond order flow," Journal of Financial Markets, Elsevier, vol. 12(2), pages 268-289, May.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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