Measures of contributions to price discovery: a comparison

This note clarifies the relation between two competing definitions of the contribution to price discovery in market microstructure models: (i) the information share and (ii) the common factor component weight. It is demonstrated that the two measures are closely related, but that only the information share takes into account the variability of the innovations in each market's price. (C) 2002 Elsevier Science B.V. All rights reserved.