Update search
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
NARROW
Format
Journal
Type
Date
Availability
1-3 of 3
Keywords: Information Share
Close
Follow your search
Access your saved searches in your account
Would you like to receive an alert when new items match your search?
Sort by
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (3): 345–369.
Published: 31 August 2018
... Market Efficiency KRX Gold Market Gold Futures Dollar Futures Information Share ...
Journal Articles
Evidences for Price Discovery between On- and Off-shore Won/Dollar Spot, Forward and NDF FX Rate
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (2): 339–363.
Published: 31 May 2016
...Ki Beom Binh; Sang-min Lee; Won Seop Lee Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore FX markets. Our findings include : (i) During the entire period, the mutual...
Journal Articles
The Information Content of Open Limit order Book in Price Discovery of KOSPI200 index Futures Market
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2010) 18 (1): 1–42.
Published: 28 February 2010
... orders behind the best bid and offer. Using Vector Error Correction Method to estimate ‘Information share’ of quotes as suggested by Hasbrouck (1995), we find that the order book is significantly informative–its contribution to price discovery is approximately above 70%, while remaining is from cash...
