Who moves first? An intensity-based measure for information flows across stock exchanges

In this paper we propose an innovative measure for information flows between stock exchanges. We develop an intensity-based information share using Russell's (1999) autoregressive conditional intensity model. Thereby we maintain the irregular nature of financial high frequency data and use durations and timing of price changes to determine the informationally dominant market. From our empirical application to US-listed Canadian stocks we conclude that the home market mostly reflects information first. On the basis of a cross-sectional analysis we find a positive correlation between the intensity-based information share and liquidity. (C) 2013 Elsevier B.V. All rights reserved.