Intraday price discovery in fragmented markets
Michel van der Wel () and
Dick van Dijk
Journal of Financial Markets, 2017, vol. 32, issue C, 28-48
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.
Keywords: High-frequency data; Market microstructure; Price discovery; Kalman filter (search for similar items in EconPapers)
JEL-codes: C32 G14 (search for similar items in EconPapers)
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Working Paper: Intraday Price Discovery in Fragmented Markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48
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