2002
DOI: 10.1093/rfs/15.4.1111
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Abstract: We thank Raymond So and Juha-Pekka Kallunki for their computer assistance, the Helsinki Stock Exchange for providing the requisite data, and Lawrence Glosten and an anonymous reviewer for their extensive and insightful comments and suggestions. This paper is dedicated to Teppo Martikainen who contributed substantially to earlier versions of this paper but did not live to witness its completion.

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Cited by 183 publications
(104 citation statements)
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References 41 publications
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“…14 It has first been proposed by Schwarz and Szacmary (1994) on intuitive grounds. A formal justification, based on the work of Gonzalo and Granger (1995), has been 14 provided by Booth et al (2002), deB Harris et al (2002 and Theissen (2002). The common factor weights are easily obtained from the coefficients on the error correction terms in (1):…”
mentioning
confidence: 99%
“…14 It has first been proposed by Schwarz and Szacmary (1994) on intuitive grounds. A formal justification, based on the work of Gonzalo and Granger (1995), has been 14 provided by Booth et al (2002), deB Harris et al (2002 and Theissen (2002). The common factor weights are easily obtained from the coefficients on the error correction terms in (1):…”
mentioning
confidence: 99%
“…Booth et al (2002) find that upstairs trades have little permanent price effects and do not much contribute to price discovery (relative to downstairs trades). This is consistent with the idea that an upstairs market serves mostly uninformed traders because of the complete lack of anonymity (see Seppi 1990 for the theoretical prediction).…”
Section: Data and Samplementioning
confidence: 74%
“…Hence, the HEX falls into the category of markets with an intermediate level of anonymity, enabling us to study the information content of signals about the identity of investors. 9 Some trading in Finland takes place in the "upstairs market," where buyers and sellers negotiate off-exchange transactions in the trading rooms of brokerage firms (see Booth et al 2002). During our sample period, 6.1% of the trades were negotiated upstairs, rather than traded "downstairs," on the HEX.…”
Section: Data and Samplementioning
confidence: 99%
“…Permuting the ordering yields lower and upper bounds for each market. As outlined by Grammig and Peter (2013) information share upper and lower bounds can be large depending on the amount of contemporaneous correlation between the composite innovations u t (compare Booth et al (2002) and Hupperets and Menkveld (2002)). As a result conclusions regarding the leading market are vage.…”
Section: A Markov Switching Approach To Estimate Unique Information Smentioning
confidence: 99%