Price Discovery in Fragmented Markets

F. de Jong; P.C. Schotman

doi:10.1093/jjfinec/nbp015

Price Discovery in Fragmented Markets

F. de Jong, P.C. Schotman^*

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › Academic › peer-review

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Abstract

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.

Original language	English
Pages (from-to)	1-28
Number of pages	28
Journal	Journal of Financial Econometrics
Volume	8
Issue number	1
DOIs	https://doi.org/10.1093/jjfinec/nbp015
Publication status	Published - 1 Jan 2010

Keywords

C32
F31
High-frequency data
microstructure
structural time-series models
SECURITY
COMPONENTS
VOLATILITY
QUALITY
STOCKS

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10.1093/jjfinec/nbp015

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abstract = "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.",

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AB - 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.

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KW - F31

KW - High-frequency data

KW - microstructure

KW - structural time-series models

KW - SECURITY

KW - COMPONENTS

KW - VOLATILITY

KW - QUALITY

KW - STOCKS

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Price Discovery in Fragmented Markets

Abstract

Keywords

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