Measures of Contributions to Price Discovery: A Comparison

This 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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Year of publication:	2001
Authors:	de Jong, Frank
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Marktmikrostruktur \| CAPM \| Theorie \| Price discovery \| Cointegration \| Permanent-Transitory decomposition

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Series:	Tinbergen Institute Discussion Paper ; 01-114/2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	83453519X [GVK] hdl:10419/85942 [Handle] RePEc:dgr:uvatin:20010114 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324914