Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2014-02-27
Number: 14-027/III
Author-Name: Sait Ozturk
Author-Workplace-Name: Econometric Institute, Erasmus University Rotterdam
Author-Name: Michel van der Wel
Author-Workplace-Name: Econometric Institute, Erasmus University Rotterdam
Title: Intraday Price Discovery in Fragmented Markets
Abstract: For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the asset’s true underlying value. We explore intraday variation in price discovery using a structural model with time-varying parameters that can be estimated with state space techniques. An application to the Expedia stock demonstrates intraday variation, to the extent that the overall dominant trading venue (NASDAQ) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday variation in information shares.
Classification-JEL: C32, G14
Keywords: High-frequency data, Market microstructure, Price Discovery, Kalman filter
File-Url: https://papers.tinbergen.nl/14027.pdf
File-Format: application/pdf
File-Size: 440358 bytes
Handle: RePEc:tin:wpaper:20140027