Price discovery in fragmented markets

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

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)
510 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

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