Analytical properties of Hasbrouck and generalized information shares

Donald Lien, Keshab Shrestha and Lianne Mei Quin Lee

Finance Research Letters, 2022, vol. 49, issue C

Abstract: This paper discusses analytical properties of Hasbrouck information share (HIS) and generalized information share (GIS). We reject the conventional designation of lower and upper bounds for HIS. Moreover, we show the difference between the GIS across the two markets is larger than the corresponding difference between the average HIS. Thus, the dominance-satellite relationship is more prominent when using GIS to measure the role of price discovery. Using the data of dual-class shares of Berkshire Hathaway Inc., we find approximately 74.34% of the price discovery occurs in the B-shares market, which is consistent with the stealth trading hypothesis.

Keywords: Price discovery; Hasbrouck information share; Generalized information share (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322003919
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003919

DOI: 10.1016/j.frl.2022.103185

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().