Price Discovery in Fragmented Markets

Frank de Jong and Peter C Schotman

No 3987, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.

Keywords: High-frequency data; Microstructure; Structural time series models (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2003-07
New Economics Papers: this item is included in nep-com and nep-rmg
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Journal Article: Price Discovery in Fragmented Markets (2010)
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