Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2001-11-22
Number: 01-114/2
Author-Name: Frank de Jong
Author-Email: f.c.j.m.dejong@uva.nl
Author-Workplace-Name: University of Amsterdam, CEPR
Title: Measures of Contributions to Price Discovery: A Comparison
Abstract: 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.
Keywords: Price discovery; Cointegration; Permanent-Transitory decomposition
File-Url: https://papers.tinbergen.nl/01114.pdf
File-Format: application/pdf
File-Size: 138800 bytes
Handle: RePEc:tin:wpaper:20010114