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Price discovery in fragmented markets

de Jong,F.C.J.M.
; 
Schotman,P.C.
Abstract
This paper proposes a structural time-series model for the intraday price dynamics on 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 related to the Hasbrouck (1995) information shares. We apply the model to two sets of Nasdaq dealer quotes.
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Pagination: 28
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2010
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Tilburg University Research Output Collection
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de Jong, F C J M & Schotman, P C 2010, 'Price discovery in fragmented markets', Journal of Financial Econometrics, vol. 8, no. 1, pp. 1-28. https://doi.org/10.1093/jjfinec/nbp015
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https://hdl.handle.net/20.500.14602/54413
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