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

共 50 条

[41] The Relation between Index Futures Intraday Price Discovery and Exchanges Regulations
Yu Fang
Kou Yi
Tong Wei-min
Ye Qiang
2012 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, 2012, : 1451 - 1458
[42] Dynamic price relationships and price discovery among cheese markets
Tejeda, Hernan A.
Kim, Man-Keun
INTERNATIONAL FOOD AND AGRIBUSINESS MANAGEMENT REVIEW, 2021, 24 (01): : 1 - 13
[43] The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
Cartea, Alvaro
Sanchez-Betancourt, Leandro
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2021, 12 (01): : 254 - 294
[44] INTRADAY PRICE CHANGE AND TRADING VOLUME RELATIONS IN THE STOCK AND STOCK OPTION MARKETS
STEPHAN, JA
WHALEY, RE
JOURNAL OF FINANCE, 1990, 45 (01): : 191 - 220
[45] DOMINANT MARKETS, STAGGERED OPENINGS, AND PRICE DISCOVERY
Adrangi, Bahram
Chatrath, Arjun
Christie-David, Rohan A.
Lee, Kiseop
JOURNAL OF FUTURES MARKETS, 2011, 31 (10) : 915 - 946
[46] Price discovery in fiat currency and cryptocurrency markets
Huang, Guan-Ying
Gau, Yin-Feng
Wu, Zhen-Xing
FINANCE RESEARCH LETTERS, 2022, 47
[47] Migration of price discovery in semiregulated derivatives markets
Hall, AD
Kofman, P
Manaster, S
JOURNAL OF FUTURES MARKETS, 2006, 26 (03) : 209 - 241
[48] Modelling and measuring price discovery in commodity markets
Figuerola-Ferretti, Isabel
Gonzalo, Jesus
JOURNAL OF ECONOMETRICS, 2010, 158 (01) : 95 - 107
[49] Price discovery and triangular arbitrage in currency markets
Wu, Zhen-Xing
Gau, Yin-Feng
Chen, Yu-Lun
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2023, 137
[50] Price discovery in European natural gas markets
Schultz, Emma
Swieringa, John
ENERGY POLICY, 2013, 61 : 628 - 634

← 1 2 3 4 5 →