期刊
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
卷 48, 期 2, 页码 459-488出版社
CAMBRIDGE UNIV PRESS
DOI: 10.1017/S0022109013000215
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The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions, thereby resolving the main drawback of the widely used Hasbrouck (1995) methodology, which merely provides upper and lower bounds of a market's information share. We show how tail dependence of price changes, which may emerge as a result of differences in market design, can be exploited to estimate unique information shares. Two empirical applications illustrate the practical use of the new methodology.
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