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Price Discovery in Interrelated Markets. (2014). Lien, Donald ; Shrestha, Keshab.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:34:y:2014:i:3:p:203-219.

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  1. Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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  2. Efficiency of Wheat Futures across APMC Mandis. (2023). Singh, Rahul Kumar.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00348-9.

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  3. Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange. (2023). Hung, Pi-Hsia ; Lien, Donald.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01150-7.

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  4. Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307.

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  5. Robust information share measures with an application on the international crude oil markets. (2022). Shi, Yanlin ; Li, Hong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:4:p:555-579.

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  6. Comparisons of Alternative Information Share Measures. (2022). Lien, Donald.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x.

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  7. Analytical properties of Hasbrouck and generalized information shares. (2022). Quin, Lianne Mei ; Shrestha, Keshab ; Lien, Donald.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003919.

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  8. Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence. (2022). Pati, Pratap Chandra.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003117.

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  9. The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters. (2022). Corbet, Shaen ; Oxley, Les ; Larkin, Charles ; Hu, Yang ; Hou, Yang ; Collings, David.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000229.

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  10. Price discovery under model uncertainty. (2022). Linn, Scott ; Kim, Jaeho.
    In: Energy Economics.
    RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000202.

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  11. Quantile information share under Markov regime?switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:4:p:493-513.

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  12. Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares*. (2021). Schweikert, Karsten.
    In: The Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:19:y:2021:i:5:p:934-959..

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  13. Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets. (2021). Wen, Fenghua ; Li, Steven ; Hou, Yang.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00940-7.

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  14. A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996.

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  15. .

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  16. Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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  17. Price discovery in Bitcoin: The impact of unregulated markets. (2020). Heck, Daniel F ; Alexander, Carol.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759.

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  18. What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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  19. The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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  20. Price discovery and microstructure in ether spot and derivative markets. (2020). Choi, Jaehyuk ; Alexander, Carol ; Sohn, Sungbin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502.

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  21. Information shares in a two-tier FX market. (2020). Schreiber, Ben Z ; Piccotti, Louis R.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:58:y:2020:i:c:p:19-35.

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  22. Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid?Ask Spread?. (2019). Frank, Julieta ; Arzandeh, Mehdi.
    In: American Journal of Agricultural Economics.
    RePEc:wly:ajagec:v:101:y:2019:i:5:p:1482-1498.

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  23. Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective. (2019). Oxley, Les ; Hou, Yang ; Hu, Yang.
    In: Working Papers in Economics.
    RePEc:wai:econwp:19/13.

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  24. Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread?. (2019). Frank, Julieta ; Arzandeh, Mehdi.
    In: American Journal of Agricultural Economics.
    RePEc:oup:ajagec:v:101:y:2019:i:5:p:1482-1498..

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  25. Price discovery and price leadership of various investor types: evidence from Taiwan futures markets. (2019). Shiu, Cheng-Yi ; Lin, Ching-Ting ; Chen, Wei-Kuang.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:53:y:2019:i:2:d:10.1007_s11156-018-0760-3.

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  26. Determinants of intraday price discovery in VIX exchange traded notes. (2018). Frijns, Bart ; Perez, Adrian Fernandeza ; Rad, Alireza Tourania ; Gafiatullina, Ilnara.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:5:p:535-548.

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  27. Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets. (2018). Chau, Frankie ; Shi, Shimeng ; Han, Chulwoo.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:156-169.

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  28. Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran.
    In: Energy Economics.
    RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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  29. Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash. (2017). Nartea, Gilbert ; Hou, Yang.
    In: MPRA Paper.
    RePEc:pra:mprapa:81995.

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  30. Price discovery in Indian stock index futures market: new evidence based on intraday data. (2017). Inani, Sarveshwar Kumar.
    In: International Journal of Indian Culture and Business Management.
    RePEc:ids:ijicbm:v:14:y:2017:i:1:p:23-43.

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  31. Estimation of Market Information Shares: A Comparison. (2016). Wang, Zijun ; Lien, Donald.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:36:y:2016:i:11:p:1108-1124.

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  32. The U.S. Role in the Price Determination of Major Agricultural Commodities. (2016). Nigatu, Getachew ; Adjemian, Michael.
    In: 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois.
    RePEc:ags:assa17:250119.

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  33. The U.S. Role in the Price Determination of Major Agricultural Commodities. (2016). Nigatu, Getachew ; Adjemian, Michael.
    In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts.
    RePEc:ags:aaea16:236045.

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  34. Information shares of two parallel currency options markets: Trading costs versus transparency/tradability. (2015). Schreiber, Ben ; Piccotti, Louis R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:210-229.

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