Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85942
Authors: 
de Jong, Frank
Year of Publication: 
2001
Series/Report no.: 
Tinbergen Institute Discussion Paper 01-114/2
Abstract: 
This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only theinformation share takes into account the variability of the innovations in each market's price.
Subjects: 
Price discovery
Cointegration
Permanent-Transitory decomposition
Document Type: 
Working Paper

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