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Intraday Price Discovery in Fragmented Markets

Sait Ozturk and Michel van der Wel ()

No 14-027/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the asset’s true underlying value. We explore intraday variation in price discovery using a structural model with time-varying parameters that can be estimated with state space techniques. An application to the Expedia stock demonstrates intraday variation, to the extent that the overall dominant trading venue (NASDAQ) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday variation in information shares.

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)
Date: 2014-02-27
New Economics Papers: this item is included in nep-fmk and nep-mst
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Citations: View citations in EconPapers (4)

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Journal Article: Intraday price discovery in fragmented markets (2017) Downloads
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