Price Discovery in Fragmented Markets

被引：19
|
作者：
de Jong, Frank [2 ]
Schotman, Peter C. [1 ]
机构：
[1] Maastricht Univ, Limburg Inst Financial Econ, NL-6200 MD Maastricht, Netherlands
[2] Tilburg Univ, Tilburg, Netherlands
来源：
JOURNAL OF FINANCIAL ECONOMETRICS | 2010年 / 8卷 / 01期
关键词：
C32; F31; High-frequency data; microstructure; structural time-series models; SECURITY; COMPONENTS; VOLATILITY; QUALITY; STOCKS;
D O I：
10.1093/jjfinec/nbp015
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery related to the Hasbrouck (1995) information shares. We apply the model to two sets of Nasdaq dealer quotes.
引用
收藏
页码：1 / 28
页数：28
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