Intraday price discovery in fragmented markets

We explore intraday variation in the contribution to price discovery across different exchanges. We estimate a structural model with time-varying parameters in state space form using maximum likelihood. We analyze data for 50 S&P 500 stocks in 2013 and find that the constancy of shares in price...

Full description

Saved in:
Bibliographic Details
Published in:Journal of financial markets (Amsterdam, Netherlands) Netherlands), 2017-01, Vol.32, p.28-48
Main Authors: Ozturk, Sait R., van der Wel, Michel, van Dijk, Dick
Format: Article
Language:English
Subjects:
High-frequency data
Kalman filter
Market microstructure
Price discovery
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We explore intraday variation in the contribution to price discovery across different exchanges. We estimate a structural model with time-varying parameters in state space form using maximum likelihood. We analyze data for 50 S&P 500 stocks in 2013 and find that the constancy of shares in price discovery is rejected. Tighter quoted spreads attract informed trading from other exchanges. Exchange listing and industrial sector of a stock significantly affect the dominant venues of price discovery in different parts of the day and following macroeconomic news announcements. •We measure intraday variation in the informativeness of simultaneous markets.•We estimate significant intraday variation for 50 S&P500 stocks.•Tighter spreads attract informed trading from other exchanges.•The primary listing exchange tends to lead price discovery.•NYSE incorporates the bulk of information in major macroeconomic news releases.
ISSN:1386-4181
1878-576X
DOI:10.1016/j.finmar.2016.10.001