Abstract

  
 

Citations



 


 



Price Discovery in Fragmented Markets


Frank De Jong


Tilburg University - Department of Finance

Peter C. Schotman


Maastricht University
Winter 2010

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 1-28, 2010

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 () 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 () information shares. We apply the model to two sets of Nasdaq dealer quotes.

Keywords: C32, F31, High-frequency data, microstructure, structural time-series models

Accepted Paper Series


Date posted: December 28, 2009  

Suggested Citation

De Jong, Frank and Schotman, Peter C., Price Discovery in Fragmented Markets (Winter 2010). Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 1-28, 2010. Available at SSRN: http://ssrn.com/abstract=1528358 or http://dx.doi.org/nbp015

Contact Information

Frank De Jong (Contact Author)
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
Peter C. Schotman
Maastricht University ( email )
P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3862 (Phone)
+31 43 388 4875 (Fax)
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 321

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo6 in 1.797 seconds