Evaluation of Information Leadership Share as Price Discovery Measure

23 Pages Posted: 10 Aug 2021

See all articles by Keshab Shrestha

Keshab Shrestha

Monash University Malaysia

Lianne M. Q. Lee

Sunway University

Date Written: February 2021

Abstract

Traditionally the price discovery is measured by information share (IS) and component share (CS) measures. Recently, Putnins (2013) proposed another measure called information leadership share (ILS) measure based on IS and CS measures. This paper performs an evaluation of ILS and finds some issues with it. Therefore, we suggest that researchers continue using the IS and CS related measures instead of the ILS measure.

Keywords: Price Discovery, Information Share

JEL Classification: C02, C18, G14

Suggested Citation

Shrestha, Keshab and Lee, Lianne M. Q., Evaluation of Information Leadership Share as Price Discovery Measure (February 2021). Available at SSRN: https://ssrn.com/abstract=3893392 or http://dx.doi.org/10.2139/ssrn.3893392

Keshab Shrestha (Contact Author)

Monash University Malaysia ( email )

Jalan Lagoon Selatan
Bandar Sunway
Jalan Lagoon Selatan, Selangor 46150
Malaysia

Lianne M. Q. Lee

Sunway University

Malaysia

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