In Defense of Information Leadership Share: A Response to Shrestha and Lee (2023)

Abstract

Shrestha and Lee (2023) is a short note arguing that the information leadership share (ILS) measure by Putnins (2013), building off of the information leadership (IL) measure by Yan and Zivot (2010), is flawed and not appropriate for measuring price leadership, and they argue for the continued use of information share (IS) and component share (CS) related measures instead of the ILS measure. In this paper, we argue that their critiques are flawed and their examples are misleading. Our analysis supports the usage of the ILS measure.

Keywords: information share, information leadership share, price discovery, structural mov ing average models

JEL Classification: C32, G10