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Comparisons of Alternative Information Share Measures

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  • Lien, Donald

Abstract

This paper adopts a vector error correction model (VECM) to obtain various information share (IS) measures as functions of the underlying parameters. We then characterize conditions such that different IS measures agree with or differ from each other when deciding whether a particular market dominates the other. The results offer analytical explanations to previous empirical and simulation findings. We also examine the relationships between IS measures and model parameters and discuss hypothesis testing on IS dominance.

Suggested Citation

  • Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x
    DOI: 10.1016/j.frl.2022.103287
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    1. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.

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