Kao, Erin H.; Ho, Tsung-wu; Fung, Hung-Gay - In: Journal of International Financial Markets, … 34 (2015) C, pp. 321-336
This study uses minute-by-minute data to analyze price discovery dynamics between the Nikkei 225 index in Japan and the E-mini S&P 500 index futures in the United States across their respective time zones. Specifically, we apply Gonzalo and Granger's (1995) and Hasbrouck's (1995) models to...
