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A new unique information share measure with applications on cross-listed Chinese banks

Hong Li () and Yanlin Shi

Journal of Banking & Finance, 2021, vol. 128, issue C

Abstract: We propose a unique measure of information share based on the factor modeling of the price innovations, which we refer to as the Factor Information Share (FIS). We show that the proposed FIS is improved over two widely used measures by providing meaningful rationale and unique identifiability. Our simulation study suggests that FIS also leads to more accurate estimates of the market-specific contribution in the process of price discovery. The empirical results include both static and dynamic FIS of cross-listed Chinese banks traded on A-shares and H-shares. By incorporating the news sentiment, we find that positive news has a larger influence on A-shares’ FIS than negative news.

Keywords: Price discovery; Information share; Factor model; Cross-market analysis (search for similar items in EconPapers)
JEL-codes: C22 C51 G11 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jbankfin.2021.106141

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