کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961089 | 929782 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A structural analysis of price discovery measures
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We analyze the structural determinants of two widely used measures of price discovery between multiple markets that trade closely related securities. Using a structural cointegration model, we show that both the information share (IS) and component share (CS) measures account for the relative avoidance of noise trading and liquidity shocks, but that only the IS can provide information on the relative informativeness of individual markets. In particular, the IS of one market is higher if it incorporates more new information and/or impounds less liquidity shocks. Use of the CS in conjunction with the IS can help sort out the confounding effects of the two types of shocks. Furthermore, we find that the IS only accounts for the immediate (one-period) responses of market prices to the news innovation, which implies that the IS estimates based on high sampling frequencies may be distorted by transitory frictions and may miss important price discovery dynamics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 13, Issue 1, February 2010, Pages 1-19
Journal: Journal of Financial Markets - Volume 13, Issue 1, February 2010, Pages 1-19
نویسندگان
Bingcheng Yan, Eric Zivot,