Intraday price discovery in fragmented markets

被引：19

作者：

Ozturk, Sait R. ^{[1
,3
]}

van der Wel, Michel ^{[1
,2
,3
,4
]}

van Dijk, Dick ^{[1
,2
,3
]}

机构：

[1] Erasmus Sch Econ, Inst Econometr, Rotterdam, Netherlands

[2] Erasmus Res Inst Management, Rotterdam, Netherlands

[3] Tinbergen Inst, Amsterdam, Netherlands

[4] CREATES, Aarhus, Denmark

来源：

JOURNAL OF FINANCIAL MARKETS | 2017年 / 32卷

基金：

新加坡国家研究基金会;

关键词：

High-frequency data; Market microstructure; Price discovery; Kalman filter; TRADING VOLUME; SECURITY; STOCKS; INFORMATION; VOLATILITY; COMPONENTS; PATTERNS; MODELS;

D O I：

10.1016/j.finmar.2016.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We explore intraday variation in the contribution to price discovery across different exchanges. We estimate a structural model with time-varying parameters in state space form using maximum likelihood. We analyze data for 50 S&P 500 stocks in 2013 and find that the constancy of shares in price discovery is rejected. Tighter quoted spreads attract informed trading from other exchanges. Exchange listing and industrial sector of a stock significantly affect the dominant venues of price discovery in different parts of the day and following macroeconomic news announcements. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：28 / 48

页数：21

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