Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/98891
Authors: 
Ozturk, Sait
van der Wel, Michel
van Dijk, Dick
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-027/III
Abstract: 
For many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the assetÂ’s true underlying value. We explore intraday variation in price discovery using a structural model with time-varying parameters that can be estimated with state space techniques. An application to the Expedia stock demonstrates intraday variation, to the extent that the overall dominant trading venue (NASDAQ) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday variation in information shares.
Subjects: 
High-frequency data
Market microstructure
Price Discovery
Kalman filter
JEL: 
C32
G14
Document Type: 
Working Paper

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