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An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore

Citations

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Cited by:

  1. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
  2. Hens, Thorsten & Schindler, Nilüfer, 2020. "Value and patience: The value premium in a dividend-growth model with hyperbolic discounting," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 161-179.
  3. Michael Melvin & Joachim Grammig & Christian Schlag, "undated". "Price Discovery in International Equity Trading," Working Papers 2133299, Department of Economics, W. P. Carey School of Business, Arizona State University.
  4. Jokivuolle, Esa & Lanne, Markku, 2004. "Trading Nokia: the roles of the Helsinki vs the New York stock exchanges," Bank of Finland Research Discussion Papers 26/2004, Bank of Finland.
  5. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
  6. Kumar, Umesh & Tse, Yiuman, 2009. "Single-stock futures: Evidence from the Indian securities market," Global Finance Journal, Elsevier, vol. 20(3), pages 220-234.
  7. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
  8. Grammig, Joachim & Melvin, Michael & Schlag, Christian, 2005. "Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 139-164, January.
  9. deB. Harris, Frederick H. & McInish, Thomas H. & Wood, Robert A., 2002. "Security price adjustment across exchanges: an investigation of common factor components for Dow stocks," Journal of Financial Markets, Elsevier, vol. 5(3), pages 277-308, July.
  10. Michael H. Senteney & David L. Senteney & Mohammad S. Bazaz, 2017. "Equity Market Response to Form 20-F Disclosures for ADR Firms," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(3), pages 233-255, March.
  11. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
  12. Joyce Hsieh & Chien-Chung Nieh, 2010. "An overview of Asian equity markets," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 24(2), pages 19-51, November.
  13. Su, Qian & Chong, Terence Tai-Leung, 2007. "Determining the contributions to price discovery for Chinese cross-listed stocks," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 140-153, April.
  14. Theissen, Erik, 2002. "Price discovery in floor and screen trading systems," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 455-474, November.
  15. Chakravarty, Sugato & Harris, Fredreck H. deB. & Wood, Roger A., 2001. "Do Bid-Ask Spreads or Bid and Ask Depths Convey New Information First?," Purdue University Economics Working Papers 1149, Purdue University, Department of Economics.
  16. Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011. "Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated Versus Empirical Data," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 126-142, December.
  17. Fung, Hung-Gay & Tse, Yiuman & Yau, Jot & Zhao, Lin, 2013. "A leader of the world commodity futures markets in the making? The case of China's commodity futures," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 103-114.
  18. M. Shabri Abd. Majid & Ahamed Kameel Mydin Meera & Mohd. Azmi Omar & Hassanuddeen Abdul Aziz, 2009. "Dynamic linkages among ASEAN‐5 emerging stock markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 4(2), pages 160-184, April.
  19. Yang, Ann Shawing & Carandang, Craig Alan Uyan, 2017. "Exploring the location and price differentials of cross-listed firms for arbitrage opportunities," Finance Research Letters, Elsevier, vol. 21(C), pages 85-91.
  20. Ritesh Patel, 2021. "ASEAN-5 and Indian Financial Market Linkages: Evidence from Cointegration and Factor Analysis," Capital Markets Review, Malaysian Finance Association, vol. 29(1), pages 41-58.
  21. Agarwal, Sumit & Liu, Chunlin & Rhee, S. Ghon, 2007. "Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 46-63, February.
  22. Yiuman Tse & Paramita Bandyopadhyay, 2006. "Multi-market trading in the Eurodollar futures market," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 321-341, May.
  23. Bongjin Kim & Mark M. Suazo & John E. Prescott, 2008. "Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness," Working Papers 0032, College of Business, University of Texas at San Antonio.
  24. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, vol. 19(3), pages 303-328, August.
  25. Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse, 2008. "Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets," Working Papers 0036, College of Business, University of Texas at San Antonio.
  26. Chen, Haiqiang & Choi, Paul Moon Sub & Kim, Hyunseob, 2008. "American depositary receipts: Asia-Pacific evidence on convergence and dynamics," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 346-368, October.
  27. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2015. "The determinants of price discovery: Evidence from US-Canadian cross-listed shares," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 457-468.
  28. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
  29. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
  30. Liu, Qingfu & An, Yunbi, 2011. "Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 778-795, September.
  31. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.
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