| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089458 | Journal of Banking & Finance | 2013 | 14 Pages |
Abstract
⺠This paper offers an innovative measure of contributions to price discovery. ⺠We use an autoregressive conditional intensity model to quantify information flows between financial markets. ⺠The suggested approach accounts for the nature of financial high frequency data. ⺠We find a home market leadership in price discovery of Canadian stocks listed on the US market. ⺠We confirm the positive link between liquidity and contributions to price discovery.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kerstin Kehrle, Franziska J. Peter,