Publication:
Price discovery between informationally linked markets during different trading phases
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Hodgson, Allan | |
| dc.contributor.author | Mohammed Masih, Abul Mansur | |
| dc.contributor.author | Masih, Rumi | |
| dc.date.accessioned | 2018-11-05T11:30:51Z | |
| dc.date.available | 2018-11-05T11:30:51Z | |
| dc.date.issued | 2003 | |
| dc.description.abstract | The dynamic nature of the price information transfer when stock and futures markets switch between different price trading phases is examined. This is undertaken by decomposing Australian stock indexes and share price index futures contract data into bear- and bull-market phases and analyzing the change in the power of the bidirectional information feedback between the futures market and small, medium, and large stocks. Results support the hypothesis that the nature of the price-discovery process varies with the trading phase. In particular, during the bull phase small stocks show a marked increase in price exogeneity and futures prices contain relatively less price-sensitive fundamental information. We argue that in bull phases, futures trading becomes increasingly associated with noninformation trading such as realizing paper profits, portfolio rebalancing, and increased noise trading. | en_US |
| dc.identifier.citation | Hodgson, Allan and Mohammed Masih, Abul Mansur and Masih, Rumi. (2003). Price discovery between informationally linked markets during different trading phases. The Journal of Financial Research, 26 (1), pp. 77-95. | en_US |
| dc.identifier.doi | doi:10.1111/1475-6803.00046 | |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/2986 | |
| dc.language | English | |
| dc.language.iso | en | en_US |
| dc.publisher | Wiley-Blackwell Publishing | en_US |
| dc.rights | 2003. Wiley-Blackwell Publishing | |
| dc.source | SEDONA | |
| dc.subject | Price?discovery | en_US |
| dc.subject | Trading phase | en_US |
| dc.subject | Price information transfer | en_US |
| dc.subject | Stock | en_US |
| dc.subject | Future markets | en_US |
| dc.title | Price discovery between informationally linked markets during different trading phases | en_US |
| dc.type | Journal Article | en_US |
| dlc.maintopic | Conventional finance | |
| dlc.subtopic | Capital markets | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | en_US |
| ikr.topic.subtopic | Conventional finance | en_US |
| Appears in Collections |