Dominant and Satellite Markets: A Study of Dually-Traded Securities

Garbade, Kenneth D.; Silber, William L.

doi:10.2307/1926079

Cited by 129 publications

(73 citation statements)

References 7 publications

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“…Hutcheson (2003) analyzes the lead-lag relationship between GLOBEX Euro-FX prices and Reuters Dollar-Euro spot quotes using intraday data over a two-week period in 2002 and finds that the spot returns lead futures returns by five minutes. This type of analysis is also closely related to Garbade and Silber (1979) and Garbade and Silber (1983). 18 We repeated our analysis using a 1-minute interval.…”

mentioning

confidence: 99%

Price Discovery in the Foreign Currency Futures and Spot Market

Rosenberg¹,

Traub²

2009

JOD

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confidence: 99%

Price Discovery in the Foreign Currency Futures and Spot Market

Rosenberg¹,

Traub²

2009

JOD

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“…The level of integration decays with ItBit, which has a relative contemporaneous feedback of around 77% with the three major markets. The basket Others mostly reacts to price changes with a delay of at least one hour and therefore the minor exchanges compiled into Others may be seen as pure satellite exchanges, in the sense of Garbade and Silber (1979). However, we have to keep in mind that this last result is in part due to smoothing the price series across ten minor exchanges.…”

Section: Resultsmentioning

confidence: 99%

Where is the information on USD/Bitcoin hourly prices?

Sebastião¹,

Duarte²,

Guerreiro³

2018

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A navegação consulta e descarregamento dos títulos inseridos nas Bibliotecas Digitais UC Digitalis, UC Pombalina e UC Impactum, pressupõem a aceitação plena e sem reservas dos Termos e Condições de Uso destas Bibliotecas Digitais, disponíveis em https://digitalis.uc.pt/pt-pt/termos.Conforme exposto nos referidos Termos e Condições de Uso, o descarregamento de títulos de acesso restrito requer uma licença válida de autorização devendo o utilizador aceder ao(s) documento(s) a partir de um endereço de IP da instituição detentora da supramencionada licença.Ao utilizador é apenas permitido o descarregamento para uso pessoal, pelo que o emprego do(s) título(s) descarregado(s) para outro fim, designadamente comercial, carece de autorização do respetivo autor ou editor da obra.Na medida em que todas as obras da UC Digitalis se encontram protegidas pelo Código do Direito de Autor e Direitos Conexos e demais legislação aplicável, toda a cópia, parcial ou total, deste documento, nos casos em que é legalmente admitida, deverá conter ou fazer-se acompanhar por este aviso. Where is the information on USD/Bitcoin hourly prices? Autor(es):Sebastião, Helder; Duarte, António Portugal; Guerreiro, Gabriel Where iS the infor mation on uSD/Bitcoin hourly priceS?Helder Sebastião António Portugal Duarte Gabriel Guerreiro Information is mostly transmitted between exchanges within an hour, at least for the main exchanges, although lagged feedbacks occur from the major exchanges. Minor exchanges are merely satellite ones and react to price information with some delay. Bitfinex is the most important exchange: the lagged feedback from this exchange to the market is 18.3%, while the reverse feedback accounts only for 0.6% of the total feedback. Volatility in the major exchanges is the main factor explaining the feedback measures, which sustains the claim that the relative importance of the information -based component of volatility increases with the relative dimension of the exchange.

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“…5 Considering other linked markets Fleming, Ostdiek, and Whaley (1996) find that the futures market leads the options market. Garbade and Silber (1979), Harris et al (1995) and Hasbrouck (1995) focus on the securities traded across different markets and find that prices on the New York Stock Exchange lead the regional exchanges. Additionally, from an international perspective Eun and Shim (1989), Koch and Koch (1991), Roell (1992 and Kleindon and Werner (1993) document a US market lead.…”

Section: Literaturementioning

confidence: 99%

The Intraday Price Behavior of Australian Exchange Traded Options and Warrants

2007

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This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price discovery hypotheses. The general findings indicate that the warrants market is the dominant market suggesting that their lower trading cost outweigh their less attractive institutional features.Additionally, we find that idiosyncratic differences among firms may result in a clientele effect thus providing justification for the coexistence of these seemingly redundant markets.

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Dominant and Satellite Markets: A Study of Dually-Traded Securities

Cited by 129 publications

References 7 publications

Price Discovery in the Foreign Currency Futures and Spot Market

Price Discovery in the Foreign Currency Futures and Spot Market

Where is the information on USD/Bitcoin hourly prices?

The Intraday Price Behavior of Australian Exchange Traded Options and Warrants

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