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The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation

✍ Scribed by Cetin Ciner


Book ID
110403754
Publisher
Springer US
Year
2002
Tongue
English
Weight
88 KB
Volume
19
Category
Article
ISSN
0924-865X

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## Abstract We investigate the price discovery role of an exchange‐traded fund and the futures contract for the same market index. We find that the fund predicts the index in the subperiod after but not in the subperiod before a substantial decrease in the minimum tick size. The futures predict the