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A new information share measure

✍ Scribed by Donald Lien; Keshab Shrestha

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
159 KB
Volume
29
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

In this study, we modify the information share (IS) originally proposed by Hasbrouck, J. (1995). The proposed modified information share (MIS) leads to a unique measure of price discovery instead of the upper and lower IS bounds. Performance of MIS is compared with the Hasbrouck IS measure and the Gonzalo–Granger permanent–transitory decomposition (PT/GG)‐based measure using simulations with 1,000 replications applied to the same three examples considered by Hasbrouck, J. (2002). The MIS is found to outperform both Hasbrouck IS measure and PT/GG measure. The empirical application of the MIS to three major stock indices indicates that price discovery takes place mostly in the futures market. Hence, the evidence supports the transaction cost hypothesis as well as the model proposed by Garbade, K. D., and Silber, W. L. (1983). © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:377–395, 2009

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