188
Views
29
CrossRef citations to date
0
Altmetric
Original Articles

Price discovery in strategically-linked markets: the case of the gold-silver spread

, &
Pages 227-234 | Published online: 07 Oct 2010

References

  • Akgiray , V. 1989 . Conditional heteroskedasticity in time series of stock returns: evidence and forecasts . Journal of Business , 62 : 55 – 80 .
  • Baillie , R. T. and Bollerslev , T. 1990 . A multivariate generalized ARCH approach to modelling risk premia in forward foreign exchange rate market . Journal of International Money and Finance , 9 : 309 – 324 .
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
  • Blume , L. , Easley , D. and O'Hara , M. 1994 . Market statistics and technical analysis: the role of volume . Journal of Finance , 49 : 153 – 181 .
  • Chan , K. , Chan , K. C. and Karolyi , G. A. 1991 . Intraday volatility in the stock index and stock index futures markets . Review of Financial Studies , 4 : 657 – 684 .
  • Chatrath , A. and Song , F. 1997 . Information and the volatility in futures and spot markets: the case of the Japanese yen . Journal of Futures Markets , forthcoming
  • Commodity Research Bureau (CRB) . 1997 . Commodity Yearbook
  • Conrad , J. and Kaul , G. 1991 . Asymmetric predictability of conditional variance . Review of Financial Studies , 4 : 597 – 622 .
  • Conrad , J. , Hameeda , A. and Niden , C. 1994 . Volume and auto covariances in short-horizon individual security returns . Journal of Finance , 49 : 1305 – 1329 .
  • Diebold , F. X. and Nerlove , M. 1989 . The dynamics of exchange rate volatility: a multivariate latent factor ARCH model . Journal of Applied Econometrics , 4 : 1 – 21 .
  • Diebold , F. X. , Gardeazabal , J. and Yilmaz , K. 1994 . On cointegration and exchange rate dynamics . Journal of Finance , 49 : 727 – 735 .
  • Engle , R. F. 1982 . Autoregressive conditional heteroskedasticity and estimates of the variance of UK inflation . Econometrica , 50 : 987 – 1008 .
  • Engle , R. F. and Ng , V. K. 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 1778 .
  • Engle , R. F. , Ng , V. K. and Rothschild , M. 1990 . Asset pricing with a factor ARCH co-variance structure: Empirical estimates or treasury bills . Journal of Econometrics , 45 : 213 – 238 .
  • Garbade , K. D. and Silber , W. L. 1979 . Dominant and satellite markets: a study of dually-traded securities . Review of Economics and Statistics , 61 : 455 – 460 .
  • Glosten , L. R. , Jagannathan , R. and Runkle , D. 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 1801 .
  • Hamao , Y. , Masulis , R. W. and Ng , V. 1990 . Correlations m price changes and volatility across international stock markets . Review of Financial Studies , 3 : 281 – 308 .
  • Harris , F. H. , Mclnish , T. H. , Shoesmith , G. L. and Wood , R. A. 1995 . Cointegration, error correction, and price discovery on informationally linked security markets . Journal of Financial and Quantitative Analysis , 30 : 563 – 579 .
  • Hasbrouck , J. 1995 . One security, many markets: determining the contribution to price discovery . Journal of Finance , 50 : 1175 – 1199 .
  • Hsieh , D. A. 1989 . Testing for nonlinear dependence in exchange rate changes . Journal of Business , 62 : 339 – 368 .
  • Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and inference on cointegration - with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Karolyi , G. A. and Stulz , R. M. 1996 . Why do markets move together? An investigation of US-Japan stock return comovements . Journal of Finance , 51 : 951 – 986 .
  • Kim , O. and Verrecchia , R. E. 1991 . Market reactions to anticipated announcements . Journal of Financial Economics , 30 : 273 – 310 .
  • Kyle , A. S. 1985 . Continuous auctions and insider trading . Econometrica , 53 : 1315 – 1336 .
  • Miller , M. , Muthuswamy , J. and Whaley , R. 1994 . Mean reversion of standard and poor's 500 index basis changes: arbitrage-induced or statistical illusion? . Journal of Finance , 49 : 479 – 513 .
  • Phillips , P. C. B. and Perron , P. 1986 . Testing for unit roots in time series regression , New Haven, Conn : Yale University, Cowles Foundation . Discussion Paper
  • Roell , A. 1992 . “ Comparing the performance of stock exchange trading systems ” . In The Internationalization of Capital Markets and the Regulatory Response , Edited by: Fingleton , J. and Schoenmaker , D. London : Graham and Trotman .
  • Ross , S. 1989 . Information and volatility: the no-arbitrage approach to timing and resolution of irrelevancy . Journal of Finance , 44 : 1 – 17 .
  • Verrecchia , R. E. 1981 . On the relationship between volume reaction and consensus of investors: implications for interpreting tests of information content . Journal of Accounting Research , 19 : 271 – 283 .
  • Weiss , A. 1984 . ARMA models with ARCH errors . Journal of Time Series Analysis , 5 : 129 – 143 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.