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Cited by 39 publications
(30 citation statements)
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References 33 publications
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“…Given such an increase in volatility, we interpret the increase in pricing error as a sign that more information is incorporated in the US market than in Canada. In this regard, our finding is consistent with Frijns et al (), who document that price discovery shifts to the US during macroeconomic news announcements. The results remain valid even after we split the sample into Canadian and US announcements.…”
Section: Resultssupporting
confidence: 93%
“…Given such an increase in volatility, we interpret the increase in pricing error as a sign that more information is incorporated in the US market than in Canada. In this regard, our finding is consistent with Frijns et al (), who document that price discovery shifts to the US during macroeconomic news announcements. The results remain valid even after we split the sample into Canadian and US announcements.…”
Section: Resultssupporting
confidence: 93%
“…In other words, the trading venue with the heavier intensity of informed trades contributes more to the price discovery of cross-listed pairs. Frijns et al (2015) examine the impact of macroeconomic news announcement on price discovery for a sample of Canadian firms cross-listed on the NYSE over the period 2004 to 2011. They demonstrate that there are significant shifts in price discovery on days with macroeconomic news announcement, where for most stocks and most announcements price discovery on the NYSE increases on days with macroeconomic news announcements.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Now the question arises why price discovery contribution is changing over time? There are various studies those have analysed the time-variation in price discovery and its determinants (Fricke and Menkhoff, 2011;Frijns et al, 2015aFrijns et al, , 2015bMizrach and Neely, 2008). In Indian context, there is no study, so far, which has analysed the time-variation of price discovery measures.…”
Section: Discussion Of Resultsmentioning
confidence: 99%
“…Most of the recent studies have used common factor methods (CS and IS methods) to examine the price discovery process (Chen and Gau, 2010;Fricke and Menkhoff, 2011;Frijns et al, 2015aFrijns et al, , 2015bLien and Shrestha, 2014;Narayan et al, 2014). These methods have been discussed and compared in a detailed manner in Baillie et al (2002), Putniņš (2013), and (Narayan and Smyth, 2015).…”
Section: Literature Reviewmentioning
confidence: 99%
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