The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand

Statistical analysis of cointegration vectors

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Financial Time Series Analysis, Cointegration Vectors, Business +3

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

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Economics, Macroeconomics, Transitory Components +10

One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · The Journal of Finance · 1995 · 1.6K citations

Market Design, Percent Information Share, Market Microstructure +19

Racing towards the Top?: The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance

John C. Coffee · Columbia Law Review · 2002 · 1K citations

Informed Trading in Stock and Option Markets

Sugato Chakravarty, Huseyin Gulen, Stewart Mayhew · The Journal of Finance · 2004 · 772 citations

Market Microstructure, Informed Trading, Option Pricing +15