Measures of contributions to price discovery: a comparison
AbstractThis note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only theinformation share takes into account the variability of the innovations in each market's price.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 5 (2002)
Issue (Month): 3 (July)
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Web page: http://www.elsevier.com/locate/finmar
Other versions of this item:
- Frank de Jong, 2001. "Measures of Contributions to Price Discovery: A Comparison," Tinbergen Institute Discussion Papers 01-114/2, Tinbergen Institute.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 13(1), pages 27-35, January.
- Tom Doan, . "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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