Price discovery in floor and screen trading systems

@inproceedings{Theissen2002PriceDI,
  title={Price discovery in floor and screen trading systems},
  author={Erik Theissen},
  year={2002}
}
  • Erik Theissen
  • Published 2002
  • Economics
  • We analyze price discovery in floor-based and electronic exchanges using data from the German stock market. We find that both markets contribute to price discovery. There is bidirectional Granger causality, and prices from both markets adjust to deviations from the long-run equilibrium. We use two different measures of the contributions to price discovery, the information share (Hasbrouck 1995) and the weights with which the series enter the common long memory component as defined by Gonzalo… CONTINUE READING

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