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S.R. Ozturk (Sait), M. van der Wel (Michel) and D.J.C. van Dijk (Dick)

2014-02-25

Intraday Price Discovery in Fragmented Markets

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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.

Additional Metadata
Keywords high-frequency data, market microstructure, price discovery, Kalman filter
JEL Time-Series Models; Dynamic Quantile Regressions (jel C32), Information and Market Efficiency; Event Studies (jel G14)
Persistent URL hdl.handle.net/1765/51096
Series Tinbergen Institute Discussion Paper Series , Econometric Institute Reprint Series
Organisation Tinbergen Institute
Citation
Ozturk, S., van der Wel, M., & van Dijk, D. (2014). Intraday Price Discovery in Fragmented Markets (No. EI-1656). Econometric Institute Reprint Series. Retrieved from http://hdl.handle.net/1765/51096
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