Krause, Timothy; Tse, Yiuman - In: International Review of Economics & Finance 25 (2013) C, pp. 244-259
Exchange-traded funds (ETFs) are now an important source of information dissemination in Canadian and U.S. equity markets, and we provide new evidence regarding price discovery and volatility spillovers in these securities. We find that price discovery flows consistently from the U.S. to Canada...