Measures of Contributions to Price Discovery: A Comparison

Frank de Jong ()
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Frank de Jong: University of Amsterdam, CEPR

No 01-114/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only theinformation share takes into account the variability of the innovations in each market's price.

Keywords: Price discovery; Cointegration; Permanent-Transitory decomposition (search for similar items in EconPapers)
Date: 2001-11-22
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20010114

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