Release time:2025-03-28  Hits:

• Indexed by:Journal paper
• First Author:Shulin Shen
• Co-author:Syed Galib Sultan,Eric Zivot
• Journal:Finance Research Letters
• Included Journals:SSCI
• Discipline:Economics
• Document Type:J
• Issue:67
• Page Number:105734
• Key Words:Price discovery Information share Order-dependence
• DOI number:10.1016/j.frl.2024.105734
• Date of Publication:2024-09-01
• Abstract:To address the order-dependence issue in Hasbrouck’s (1995) Information Share (IS) measure,　which assesses a market’s contribution to price discovery, we propose a new metric called the　Price Discovery Share (PDS). The PDS is straightforward to compute, easy to interpret, order　invariant, and unique. Our measure is inspired by a commonly used method in portfolio risk management that decomposes portfolio volatility into specific contributions from each asset.　Through analytical methods and simulations, we demonstrate that the PDS measure offers significant advantages over both the original IS measure and the Modified Information Share　(MIS) measure proposed by Lien and Shrestha (2009).