Lien, Donald; Shrestha, Keshab - In: Journal of Futures Markets 34 (2014) 3, pp. 203-219
In this study, we generalize the information share (IS) proposed by Hasbrouck (1995) and extended by Lien and Shrestha (2009). The new generalized information share (GIS) can be used to analyze the price discovery process in interrelated securities markets, whereas the previous two measures can...