کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098259 | 1478690 | 2015 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
How well does the weighted price contribution measure price discovery?
ترجمه فارسی عنوان
سهم قیمت وزنی چقدر قیمت کشف می کند؟
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
The weighted price contribution (WPC) is a popular measure for price discovery. This paper examines the theoretical properties and empirical performance of the WPC in sequential markets. The benchmark used to judge the WPC is the information share (IS) measure based on the variation of the efficient price. We derive the asymptotic value of the WPC, which is a complex combination of the unconditional means and variances of the returns of sequential markets, under the assumption of normality. We show that the WPC correctly converges to the IS only when the returns are uncorrelated with zero means. Our theoretical predictions based on normality hold well in simulations and in empirical analyses of the overnight price discovery for the S&P 100 index and its constituent stocks. As the correlation between overnight and daytime returns increases, the WPC deviates from the IS substantially.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 55, June 2015, Pages 113-129
Journal: Journal of Economic Dynamics and Control - Volume 55, June 2015, Pages 113-129
نویسندگان
Jianxin Wang, Minxian Yang,