International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

33 Pages Posted: 21 Oct 2009 Last revised: 23 Apr 2010

See all articles by Kerstin Kehrle

Kerstin Kehrle

Independent

Franziska J. Peter

Eberhard Karls Universität Tübingen

Multiple version iconThere are 2 versions of this paper

Date Written: November 20, 2009

Abstract

This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to price discovery. Thereby, we account for the irregular nature of transaction data. Moreover, in contrast to the commonly applied Hasbrouck (1995) approach, which yields lower and upper bounds for information shares, our model delivers a unique measure. Our empirical application to US-listed Canadian stocks supports previous evidence for the home market leadership in price discovery.

Keywords: Price Discovery, Multivariate Autoregressive Conditional Intensity, Cross-Listed Stocks

JEL Classification: C1, C3, C5, G1

Suggested Citation

Kehrle, Kerstin and Peter, Franziska Julia, International Price Discovery in Stock Markets - A Unique Intensity Based Information Share (November 20, 2009). Available at SSRN: https://ssrn.com/abstract=1481328 or http://dx.doi.org/10.2139/ssrn.1481328

Kerstin Kehrle

Independent ( email )

Franziska Julia Peter (Contact Author)

Eberhard Karls Universität Tübingen ( email )

Mohlstrasse 36
72074 Tuebingen, Baden Wuerttemberg 72074
Germany

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
217
Abstract Views
1,256
Rank
172,787
PlumX Metrics