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Stock price manipulation, market microstructure and asymmetric information

โœ Scribed by Franklin Allen; Gary Gorton

Book ID
115875082
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
488 KB
Volume
36
Category
Article
ISSN
0014-2921

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๐Ÿ“œ SIMILAR VOLUMES

Asymmetric price transmission within the
Asymmetric price transmission within the Portuguese stock market
โœ Rui Menezes; Andreia Dionisio; Diana A. Mendes ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 169 KB

This paper uses threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models to address the problem of asymmetry within the Portuguese stock market. These asymmetric error correction models extend the original cointegration models to deal with the problem of low power of unit