Price discovery in fragmented markets

F.C.J.M. de Jong, P.C. Schotman

Research output: Contribution to journalArticleScientificpeer-review

9 Citations (Scopus)
416 Downloads (Pure)

Abstract

This paper proposes a structural time-series model for the intraday price dynamics on 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 related to the Hasbrouck (1995) information shares. We apply the model to two sets of Nasdaq dealer quotes.
Original languageEnglish
Pages (from-to)1-28
Number of pages28
JournalJournal of Financial Econometrics
Volume8
Issue number1
DOIs
Publication statusPublished - 2010

Fingerprint Dive into the research topics of 'Price discovery in fragmented markets'. Together they form a unique fingerprint.

  • Cite this