Who moves first? An intensity-based measure for information flows across stock exchanges

► This paper offers an innovative measure of contributions to price discovery. ► We use an autoregressive conditional intensity model to quantify information flows between financial markets. ► The suggested approach accounts for the nature of financial high frequency data. ► We find a home market leadership in price discovery of Canadian stocks listed on the US market. ► We confirm the positive link between liquidity and contributions to price discovery.