Price Discovery in Fragmented Markets
28 Pages Posted: 10 Sep 2003
There are 2 versions of this paper
Price Discovery in Fragmented Markets
Price Discovery in Fragmented Markets
Date Written: July 2003
Abstract
This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.
Keywords: High-frequency data, microstructure, structural time series models
JEL Classification: C32, F31
Suggested Citation: Suggested Citation
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