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).
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.