haku: @author Hasbrouck, J. / yhteensä: 7
viite: 2 / 7
| Tekijä: | Hasbrouck, J. |
| Otsikko: | One security, many markets: determining the contributions to price discovery |
| Lehti: | Journal of Finance
1995 : SEP, VOL. 50:4, p. 1175-1200 |
| Asiasana: | SECURITY MARKETS PRICES |
| Kieli: | eng |
| Tiivistelmä: | When homogeneous or closely-linked securities trade in multiple markets, it is often of interest to determine where price discovery (the incorporation of new information) occurs. This article suggests an econometric approach based on an implicit unobservable efficient price common to all markets. The information share associated with a particular market is defined as the proportional contribution of that market innovations to the innovation in the common efficient price. |
SCIMA