✦ LIBER ✦

Local investors, price discovery, and market efficiency

✍ Scribed by Sophie Shive

Book ID: 113711453
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 475 KB
Volume: 104
Category: Article
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2011.12.003

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Price Discovery and Efficiency in the UK

Price Discovery and Efficiency in the UK Housing Market

✍ R.J. Barkham; D.M. Geltner 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 211 KB

Unbiased Estimation, Price Discovery, an

Unbiased Estimation, Price Discovery, and Market Efficiency: Futures Prices and Spot Prices

✍ Rong CHEN; Zhen-long ZHENG 📂 Article 📅 2008 🏛 Elsevier ⚖ 311 KB

The effects of intelligence on price dis

The effects of intelligence on price discovery and market efficiency

✍ Chia-Hsuan Yeh 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 233 KB

Hot Markets, Investor Sentiment, and IPO

Hot Markets, Investor Sentiment, and IPO Pricing*

✍ Ljungqvist, Alexander; Nanda, Vikram; Singh, Rajdeep 📂 Article 📅 2006 🏛 University of Chicago Press 🌐 English ⚖ 249 KB

Price discovery by the market's mind: an

Price discovery by the market's mind: an investor's perspective on numerical archetypes

✍ Schotanus, Patrick 📂 Article 📅 2013 🏛 Taylor and Francis Group 🌐 English ⚖ 143 KB

Price discovery and investor structure i

Price discovery and investor structure in stock index futures

✍ Martin T. Bohl; Christian A. Salm; Michael Schuppli 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 244 KB 👁 1 views

## Abstract Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over