Evaluation of Information Leadership Share as Price Discovery Measure
23 Pages Posted: 10 Aug 2021
Date Written: February 2021
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: Suggested Citation