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Asymptotic inference for Hasbrouck information shares

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  • Schweikert, Karsten

Abstract

We derive the asymptotic distribution of Hasbrouck information shares and provide a large sample approximation to conduct standard hypothesis tests. The finite sample properties are studied with simulation experiments. While the resulting tests are properly sized and have sufficient power against the null, the size properties are distorted if the null hypothesis is located at the bounds. We therefore suggest a specific test for the “one central market” hypothesis. Additionally, we provide a generalized Wald test to test for equality of shares.

Suggested Citation

  • Schweikert, Karsten, 2026. "Asymptotic inference for Hasbrouck information shares," Economics Letters, Elsevier, vol. 258(C).
    • Handle: RePEc:eee:ecolet:v:258:y:2026:i:c:s0165176525005932
    DOI: 10.1016/j.econlet.2025.112756
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    References listed on IDEAS

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    1. Grammig, Joachim & Peter, Franziska J., 2013. "Telltale Tails: A New Approach to Estimating Unique Market Information Shares," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 459-488, April.
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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