create a website

Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process. (2020). Shrestha, Keshab ; Peranginangin, Yessy ; Philip, Sheena.
In: American Business Review.
RePEc:ris:ambsrv:0019.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 49

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Albuquerque, R., Eichenbaum, M., Luo, V.X., & Rebelo, S. (2016). Valuation risk and asset pricing. The Journal of Finance, LXXI (6), 2861-2904.

  2. Baillie, R., Booth, G., Tse, Y., & Zabotina, T. (2002). Price discovery and common factor models. Journal of Financial Markets, 5, 309-321.

  3. Balchunas, E. (2016). The institutional ETF toolbox: How institutions can understand and utilize the fast-growing world of ETFs. John Wiley & Sons, Inc., Hoboken, New Jersey.
    Paper not yet in RePEc: Add citation now
  4. Bekiros, S.D., & Diks, C.G.H. (2008). The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality. Energy Economics, 2673-2685.

  5. Benink, H., & Bossaerts, P. (2001). An exploration of Neo-Austrian Theory applied to financial markets.

  6. Boehmer, E., Chava, S., & Tookes, H.E. (2015). Related securities and equity market quality: The case of CDS. The Journal of Financial and Quantitative Analysis, 50(3), 509-541.

  7. Booth, G., Lin, J., Martikainen, T., & Tse, Y. (2002). Trading and pricing in upstairs and downstairs stock markets. The Review of Financial Studies, 15(4), 1111-1135.

  8. Booth, G., So, R., & Tse, Y. (1999). Price discovery in German equity index derivatives markets. The Journal of Futures Markets, 19(6), 619-643.

  9. Bopp, A. E., & Lady, G. M. (1991). A comparison of petroleum futures versus spot prices as predictors of prices in future. Energy Economics, 13(4), 274-282.

  10. Bopp, A. E., & Sitzer, S. (1987). Are petroleum futures prices good predictors of cash value? The Journal of Futures Markets, 7(6), 705-719.

  11. Brogaard, J., Hendershott, T., & Riordan, R. (2019). Price discovery without trading: Evidence from limit orders. The Journal of Finance, LXXIV (4), 1621-1658.

  12. Campbell, J.Y., Giglio, S., & Pathak, P. (2011). Forced sales and house prices. The American Economic Review, 101(5), 2108-2131.

  13. Chen, J., & Tourani-Rad, A. (2016). Short sales and price discovery of Chinese cross-listed firms.

  14. Chu, Q.C., Hsieh, W.l.G., & Tse, Y. (1999). Price discovery on the S&P500 index markets: An analysis of spot index, index futures, and SPDRs. International Review of Financial Analysis, 8(1), 21-34.
    Paper not yet in RePEc: Add citation now
  15. Conrad, J., Wahal, S., & Xiang, J. (2015). High-frequency quoting, trading, and the efficiency of prices.

  16. Dagher, L., & El Hariri, S. (2013). The impact of global price shocks on the Lebanese stock market.

  17. Diebold, F.X., & Strasser, G. (2013). On the correlation structure of microstructure noise: A financial economic approach. The Review of Financial Studies, 80(4), 1304-1337.

  18. Dutta, P., Noor, M.H., & Dutta, A. (2017). Impact of oil volatility stocks on global emerging market stock returns. International Journal of Managerial Finance, 13(5), 578-591.

  19. Energy, 63, 366-374. K. Shrestha, S. Philip, and Y. Peranginangin American Business Review 23(2) __________________________________________________ 405 De Jong, F. (2002). Measures of contributions to price discovery: A comparison. Journal of Financial Markets, 5, 323-327.
    Paper not yet in RePEc: Add citation now
  20. Engle, R.F., & Granger, C.W.J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276.

  21. Eun, S., & Sabherwal, S. (2003). Cross-border listing and price discovery: evidence from US-listed Canadian stocks. Journal of Finance, 58, 549-575.

  22. Fama, E.F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105.
    Paper not yet in RePEc: Add citation now
  23. Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.

  24. Figuerola-Ferretti, I., & Gonzalo, J. (2010). Modelling and measuring price discovery in commodity markets. Journal of Econometrics, 158, 95-107.

  25. Fotak, V., Raman, V., & Yadav, P.K. (2014). Fails-to-deliver, short selling, and market quality. Journal of Financial Economics, 114, 493-516.

  26. Frijns, B., Gilbert, A., & Tourani-Rad, A. (2010). The dynamics of price discovery for cross listed shares: Evidence from Australia and New Zealand. Journal of Banking & Finance, 34, 498-508.

  27. Frijns, B., Gilbert, A., & Tourani-Rad, A. (2015). The determinants of price discovery: Evidence from USCanadian cross-listed shares. Journal of Banking & Finance, 59, 457-468.

  28. Ghosh, S., & Kanjilal, K. (2016). Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests. Energy Economics, 53, 111-117.

  29. Gonzalo, J., & Granger, C. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics, 13(1), 27-35.

  30. Grammig, J., Melvin, M., & Schlag, C. (2005). Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. Journal of Empirical Finance, 12, 139-164.

  31. Griffin, J.M., Kelly, P.J., & Nardari, F. (2010). Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. The Review of Financial Studies, 23(8), 32253277.

  32. Hagstromer, B., & Menkveld, A.J. (2019). Information revelation in decentralized markets. The Journal of Finance, LXXIV (6), 2751-2787.

  33. Harris, F., McInish, T., & Wood, R. (2002). Security price adjustment across exchanges: in investigation of common factor components for Dow stocks. Journal of Financial Markets, 5, 277-308.

  34. Hasbrouck, J. (1991). The summary informativeness of stock trades: An econometric analysis. The Review of Financial Studies, 4(3), 571-595.

  35. Hasbrouck, J. (1993). Assessing the quality of a security market: A new approach to transaction-cost measurement. The Review of Financial Studies, 6(1), 191-212.

  36. Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery.

  37. International Journal of Managerial Finance, 12(4), 408-421. Chen, K., Guangzhong, L., & Wu, L. (2010). Price discovery for segmented us-listed Chinese stocks: location or market quality? Journal of Business Finance and Accounting, 38, 242-269.

  38. Ivanov, S.I. (2013). The influence of ETFs on the price discovery of gold, silver and oil. Journal of Economics and Finance, 37, 453-462.

  39. Ivanov, S.I. (2015). Intraday analysis of currency ETFs. International Journal of Managerial Finance, 11(4), 438-450.

  40. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580.

  41. Journal of Financial Economics, 116, 271-291. Cunado, J., & Perez de Gracia, F. (2014). Oil price shocks and stock market returns: Evidence for some European countries. Energy Economics, 42, 365-377.

  42. K. Shrestha, S. Philip, and Y. Peranginangin American Business Review 23(2) __________________________________________________ 406 Henderson, B.J., Pearson, N.D., & Wang, L. (2015). New evidence on the financialization of commodity markets. The Review of Financial Studies, 28, 1285-1311.

  43. Kaufmann, R.K., & Ullman, B. (2009). Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices. Energy Economics, 31, 550-558.

  44. Kawaller, I., Koch, P., & Koch, T. (1987). The temporal price relationship between S&P 500 futures and the S&P 500 index. Journal of Finance, 42, 1309-1329.

  45. Kharbanda, V., & Singh, A. (2017). Lead-lag relationship between futures and spot FX market in India.

  46. The Journal of Finance, 50, 1175-1199. Hasbrouck, J. (2003). Intraday price formation in U.S. equity index markets. The Journal of Finance, 58(6), 2375-2399.

  47. The Journal of Finance, 56(3), 1011-1027. Boehmer, E., Saar, G., & Yu, L. (2005). Lifting the veil: An analysis of pre-trade transparency at the NYSE.

  48. The Journal of Finance, 60(2), 783-815. Boehmer, E., & Kelley, E.K. (2009). Institutional investors and the informational efficiency of prices.

  49. The Review of Financial Studies, 22(9), 3563-3594. Boehmer, E., & Wu, J. (2013). Short selling and the price discovery process. The Review of Financial Studies, 26(2), 287-322.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Estimating a Density Ratio Model for Stock Market Risk and Option Demand. (2024). LINTON, OLIVER ; Dalderop, J.
    In: Janeway Institute Working Papers.
    RePEc:cam:camjip:2405.

    Full description at Econpapers || Download paper

  2. Does corporate social responsibility affect the achievement of performance commitment in valuation adjustment mechanism agreement? Evidence from Chinese listed company. (2022). Li, Xintao.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:43:y:2022:i:2:p:533-543.

    Full description at Econpapers || Download paper

  3. Stock Market and No‐Dividend Stocks. (2022). Basak, Suleyman ; Atmaz, Adem.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:77:y:2022:i:1:p:545-599.

    Full description at Econpapers || Download paper

  4. Discount rates, debt maturity, and the fiscal theory. (2021). Morales, Gonzalo ; Corhay, Alexandre ; Kind, Thilo ; Kung, Howard.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:323.

    Full description at Econpapers || Download paper

  5. Conventional and neural network target‐matching methods dynamics: The information technology mergers and acquisitions market in the USA. (2021). Anagnostopoulos, Ioannis ; Rizeq, Anas.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:28:y:2021:i:2:p:97-118.

    Full description at Econpapers || Download paper

  6. The fundamental surplus strikes again. (2021). Sargent, Thomas ; Ljungqvist, Lars.
    In: Review of Economic Dynamics.
    RePEc:red:issued:21-119.

    Full description at Econpapers || Download paper

  7. Real and Nominal Equilibrium Yield Curves. (2021). Palomino, Francisco ; Hsu, Alex.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1138-1158.

    Full description at Econpapers || Download paper

  8. Consumption-Based Asset Pricing When Consumers Make Mistakes. (2021). Anderson, Christopher.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2021-15.

    Full description at Econpapers || Download paper

  9. Stock and bond joint pricing, consumption surplus, and inflation news. (2021). Wong, Tat Wing ; Terence, Ka Wai ; Lou, Jun ; Nazimoff, Jonas J.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000477.

    Full description at Econpapers || Download paper

  10. Why a pandemic recession boosts asset prices. (2021). Herrenbrueck, Lucas.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:93:y:2021:i:c:s030440682100029x.

    Full description at Econpapers || Download paper

  11. A tale of tails : New evidence on the growth-return nexus. (2021). Výrost, Tomáš ; Plíhal, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310347.

    Full description at Econpapers || Download paper

  12. Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?. (2021). Singleton, Kenneth J.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:76:y:2021:i:4:p:1611-1654.

    Full description at Econpapers || Download paper

  13. The expected investment growth premium. (2021). Li, Jun ; Yu, Jianfeng ; Wang, Huijun.
    In: Financial Management.
    RePEc:bla:finmgt:v:50:y:2021:i:4:p:905-933.

    Full description at Econpapers || Download paper

  14. Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Kind, Thilo ; Kung, Howard ; Morales, Gonzalo ; Corhay, Alexandre.
    In: Staff Working Papers.
    RePEc:bca:bocawp:21-58.

    Full description at Econpapers || Download paper

  15. Bond risk premia in consumption‐based models. (2020). Wu, Jing Cynthia ; Creal, Drew.
    In: Quantitative Economics.
    RePEc:wly:quante:v:11:y:2020:i:4:p:1461-1484.

    Full description at Econpapers || Download paper

  16. DISCOUNT SHOCK, PRICE–RENT DYNAMICS, AND THE BUSINESS CYCLE. (2020). Zha, Tao ; Wang, Pengfei ; Miao, Jianjun.
    In: International Economic Review.
    RePEc:wly:iecrev:v:61:y:2020:i:3:p:1229-1252.

    Full description at Econpapers || Download paper

  17. The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data. (2020). Pépin, Dominique ; Miller, Stephen.
    In: Working papers.
    RePEc:uct:uconnp:2020-09.

    Full description at Econpapers || Download paper

  18. Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process. (2020). Shrestha, Keshab ; Peranginangin, Yessy ; Philip, Sheena.
    In: American Business Review.
    RePEc:ris:ambsrv:0019.

    Full description at Econpapers || Download paper

  19. Asset Prices and Unemployment Fluctuations. (2020). Pastorino, Elena ; Midrigan, Virgiliu ; Lopez, Pierlauro ; Kehoe, Patrick.
    In: Staff Report.
    RePEc:fip:fedmsr:87571.

    Full description at Econpapers || Download paper

  20. Asset Prices and Unemployment Fluctuations. (2020). Pastorino, Elena ; Midrigan, Virgiliu ; Lopez, Pierlauro ; Kehoe, Patrick.
    In: Working Papers.
    RePEc:fip:fedcwq:87582.

    Full description at Econpapers || Download paper

  21. Discount Shock, Price-Rent Dynamics, and the Business Cycle. (2020). Zha, Tao ; Wang, Pengfei ; Miao, Jianjun.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:88036.

    Full description at Econpapers || Download paper

  22. Value and patience: The value premium in a dividend-growth model with hyperbolic discounting. (2020). Hens, Thorsten ; Schindler, Nilufer.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:172:y:2020:i:c:p:161-179.

    Full description at Econpapers || Download paper

  23. Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai.
    In: Staff Working Papers.
    RePEc:bca:bocawp:20-14.

    Full description at Econpapers || Download paper

  24. Existence and Uniqueness of Recursive Utility Models in $L_p$. (2020). O'Neil, Flint.
    In: Papers.
    RePEc:arx:papers:2005.07067.

    Full description at Econpapers || Download paper

  25. The Origins and Effects of Macroeconomic Uncertainty. (2019). Bianchi, Francesco ; Tirskikh, Mikhail ; Kung, Howard.
    In: 2019 Meeting Papers.
    RePEc:red:sed019:245.

    Full description at Econpapers || Download paper

  26. Asset Prices and Unemployment Fluctuations. (2019). Pastorino, Elena ; Midrigan, Virgiliu ; Lopez, Pierlauro ; Kehoe, Patrick.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26580.

    Full description at Econpapers || Download paper

  27. The Term Structures of Coentropy in International Financial Markets. (2019). Colacito, Riccardo ; Chabi-Yo, Fousseni.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:8:p:3541-3558.

    Full description at Econpapers || Download paper

  28. Characteristics are covariances: A unified model of risk and return. (2019). Pruitt, Seth ; Su, Yinan ; Kelly, Bryan T.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

    Full description at Econpapers || Download paper

  29. In search of preference shock risks: Evidence from longevity risks and momentum profits. (2019). Chen, Zhanhui ; Yang, Bowen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:133:y:2019:i:1:p:225-249.

    Full description at Econpapers || Download paper

  30. Endogenous asymmetric money illusion. (2019). Saporito, Yuri F ; Duarte, Diogo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302559.

    Full description at Econpapers || Download paper

  31. Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

    Full description at Econpapers || Download paper

  32. The Origins and Effects of Macroeconomic Uncertainty. (2019). Bianchi, Francesco ; Tirskikh, Mikhail ; Kung, Howard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13450.

    Full description at Econpapers || Download paper

  33. The Origins and Effects of Macroeconomic Uncertainty. (2018). Bianchi, Francesco ; Tirskikh, Mikhail ; Kung, Howard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25386.

    Full description at Econpapers || Download paper

  34. Non-Monetary News in Central Bank Communication. (2018). Schrimpf, Andreas ; Cieslak, Anna.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25032.

    Full description at Econpapers || Download paper

  35. Asset pricing with beliefs-dependent risk aversion and learning. (2018). Rindisbacher, Marcel ; Detemple, Jerome ; Berrada, Tony.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534.

    Full description at Econpapers || Download paper

  36. Four centuries of return predictability. (2018). Koudijs, Peter ; Golez, Benjamin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:127:y:2018:i:2:p:248-263.

    Full description at Econpapers || Download paper

  37. The Asian Financial Crisis and international reserve accumulation: A robust control approach. (2018). Luk, Paul ; Lee, Sang Seok.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:90:y:2018:i:c:p:284-309.

    Full description at Econpapers || Download paper

  38. Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk. (2018). Legendre, François ; Hurtado, Santiago Medina ; Lopez, Oscar Manco ; Botero, Oscar.
    In: Estudios Gerenciales.
    RePEc:col:000129:016212.

    Full description at Econpapers || Download paper

  39. Non-monetary news in central bank communication. (2018). Schrimpf, Andreas ; Cieslak, Anna.
    In: BIS Working Papers.
    RePEc:bis:biswps:761.

    Full description at Econpapers || Download paper

  40. Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M.
    In: BIS Papers.
    RePEc:bis:bisbps:95.

    Full description at Econpapers || Download paper

  41. Asset prices and macroeconomic outcomes : a survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:8259.

    Full description at Econpapers || Download paper

  42. Zeroing in: Asset Pricing at the Zero Lower Bound. (2017). Bilal, Mohsan.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:377.

    Full description at Econpapers || Download paper

  43. Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1718.

    Full description at Econpapers || Download paper

  44. Economic Implications of Nonlinear Pricing Kernels. (2017). Garcia, René ; Almeida, Caio.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:10:p:3361-3380.

    Full description at Econpapers || Download paper

  45. Asset prices and macroeconomic outcomes: A survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2017-76.

    Full description at Econpapers || Download paper

  46. Asset price volatility, price markups, and macroeconomic fluctuations. (2017). Iraola, Miguel ; Santos, Manuel S.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:90:y:2017:i:c:p:84-98.

    Full description at Econpapers || Download paper

  47. The term structure of returns: Facts and theory. (2017). van Binsbergen, Jules.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:124:y:2017:i:1:p:1-21.

    Full description at Econpapers || Download paper

  48. Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12460.

    Full description at Econpapers || Download paper

  49. Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn.
    In: BIS Working Papers.
    RePEc:bis:biswps:676.

    Full description at Econpapers || Download paper

  50. Interpreting Volatility Shocks as Preference Shocks. (2016). Xu, Shaofeng.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-45.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-20 20:15:56 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.