Price discovery share: An order invariant measure of price discovery

发布时间：2025-03-28 点击次数：

• 论文类型：期刊论文
• 第一作者：沈淑琳
• 合写作者：Syed Galib Sultan,Eric Zivot
• 发表刊物：Finance Research Letters
• 收录刊物：SSCI
• 学科门类：经济学
• 文献类型：J
• 期号：67
• 页面范围：105734
• 关键字：Price discovery Information share Order-dependence
• DOI码：10.1016/j.frl.2024.105734
• 发表时间：2024-09-01
• 摘要：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).