Who moves first? An intensity-based measure for information flows across stock exchanges

Kerstin Kehrle and Franziska J. Peter

Journal of Banking & Finance, 2013, vol. 37, issue 5, 1629-1642

Abstract: In this paper we propose an innovative measure for information flows between stock exchanges. We develop an intensity-based information share using Russell’s (1999) autoregressive conditional intensity model. Thereby we maintain the irregular nature of financial high frequency data and use durations and timing of price changes to determine the informationally dominant market. From our empirical application to US-listed Canadian stocks we conclude that the home market mostly reflects information first. On the basis of a cross-sectional analysis we find a positive correlation between the intensity-based information share and liquidity.

Keywords: Price discovery; Cross-listed stocks; Autoregressive conditional intensity model (search for similar items in EconPapers)
JEL-codes: C10 C32 C41 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:5:p:1629-1642

DOI: 10.1016/j.jbankfin.2012.12.011

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