Security price adjustment across exchanges: an investigation of common factor components for Dow stocks

By F. Harris, Thomas H. Mcinish, R. Wood. 2002

325 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a72679daf0daad07a717416f1e87170c9c7c8e82

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Economics and Econometrics

In Finance

Citations in the corpus

Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2005, background): “In a special issue of the Journal of Financial Markets, papers by Lehmann (2002), Baillie, Booth, Tse, and Zabotina (2002), DeJong (2002), Hasbrouck (2002), and Harris, McInish, and Wood (2002), provide a detailed analysis of the two approaches.”
Realized Variance and Market Microstructure Noise (2006, background): “This relation is discussed in Johansen (1996), see also Hansen & Johansen (1998, pp. 27-28), and similar arguments later appeared in de Jong (2002) and Baillie, Booth, Tse & Zabotina (2002), see also Harris et al. (2002) and Lehmann (2002).”
Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003, methodology): “13 In contrast to the approach in Harris et al. (1995) and Harris et al. (2002), which employs the permanent-transitory decomposition of the cointegrated system, the information shares in the Hasbrouck (1995) approach are extracted from a variance decomposition in the vector moving average…”
Cross-Listing, Price Discovery and the Informativeness of the Trading Process (2006, unknown): “Hasbrouck (2002) confronts the information share approach in Hasbrouck (1995) with the permanent-transitory approach in Harris et al. (2002). He shows that in the case of a two-market model with private and public information, similar to the one presented in this paper, the information share approac”
The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2006, unknown): “The early findings in studies by Hedvall et al. (1998), Pascual et al.”
A Structural Analysis of Price Discovery Measures (2010, methodology): “As a further illustration, Table 1 gives two parameterizations of model 1 given by (18).”
What Do Price Discovery Metrics Really Measure (2013, methodology): “…discovery of different stock exchanges or trading venues that have similar structure using cross-listed stocks (e.g., Hasbrouck, 1995; Huang, 2002; Harris et al., 2002; Eun and Sabherwal, 2003; Pascual et al., 2006; Frijns et al., 2010; Korczak and Phylaktis, 2010; Chen and Sub Choi, 2012; Chen…”
The information content of an open limit‐order book (2009, unknown): “According to our estimates of the Hasbrouck (1995) information share, the contribution of the order book beyond the first step is 30%.”