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Do bid-ask spreads or bid and ask depths convey new information first?

Chakravarty, Sugato (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001914542

The changing state of the NYSE market : new common factors, players, and impulse responses

Chakravarty, Sugato; Harris, Frederick H. deB.; Wood, … - In: The journal of trading 4 (2009) 1, pp. 68-94

Persistent link: https://www.econbiz.de/10003810727

The changing state of the NYSE market : new common factors, players, and impulse responses

Chakravarty, Sugato; Harris, Frederick H. DeB.; Wood, … - In: The journal of trading 4 (2009) 1, pp. 68-94

Persistent link: https://www.econbiz.de/10009881767

Cointegration, error correction, and price discovery on informationally linked security markets

Harris, Frederick H. deB.; McInish, Thomas H.; … - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 563-579

Persistent link: https://www.econbiz.de/10001218096

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

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of financial markets 5 (2002) 3, pp. 277-308

Persistent link: https://www.econbiz.de/10001706035

Common factor components versus information shares: a reply

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of financial markets 5 (2002) 3, pp. 341-348

Persistent link: https://www.econbiz.de/10001706070

The persistence of dominant-firm market share : raising rivals' cost on the New York Stock Exchange

Harris, Frederick H. deB.; Hyde, Adam S.; Wood, Robert A. - In: Southern economic journal 81 (2014) 1, pp. 91-112

Persistent link: https://www.econbiz.de/10011621961

Fragmentation and price discovery : a comparison of Reg NMS and MiFID1

Harris, Frederick H. deB.; McInish, Thomas H.; … - In: The journal of trading 9 (2014) 4, pp. 6-36

Persistent link: https://www.econbiz.de/10011291072

Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets

Harris, Frederick H. deB. - 2001

Using synchronous transactions data for IBM from the New York, Pacific and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's multi-variate cointegration test yields two cointegrating vectors...

Persistent link: https://www.econbiz.de/10012788487

Common factor components versus information shares: a reply

Harris, Frederick H. deB.; McInish, Thomas H.; Wood, … - In: Journal of Financial Markets 5 (2002) 3, pp. 341-348

Persistent link: https://www.econbiz.de/10005320002