Comparisons of Alternative Information Share Measures

Donald Lien

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This paper adopts a vector error correction model (VECM) to obtain various information share (IS) measures as functions of the underlying parameters. We then characterize conditions such that different IS measures agree with or differ from each other when deciding whether a particular market dominates the other. The results offer analytical explanations to previous empirical and simulation findings. We also examine the relationships between IS measures and model parameters and discuss hypothesis testing on IS dominance.

Keywords: VECM; Information share; Dominance; Hypothesis testing (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x

DOI: 10.1016/j.frl.2022.103287

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