Intraday price discovery in fragmented markets

Sait R. Ozturk; Michel van der Wel; Dick van Dijk

doi:10.1016/j.finmar.2016.10.001

Intraday price discovery in fragmented markets

Sait R. Ozturk^*, Michel van der Wel, Dick van Dijk

^*Corresponding author for this work

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

21 Citations (Scopus)

Abstract

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.

Original language	English
Journal	Journal of Financial Markets
Volume	32
Pages (from-to)	28-48
Number of pages	21
ISSN	1386-4181
DOIs	https://doi.org/10.1016/j.finmar.2016.10.001
Publication status	Published - 1 Jan 2017

Keywords

High-frequency data
Kalman filter
Market microstructure
Price discovery

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10.1016/j.finmar.2016.10.001

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abstract = "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.",

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author = "Ozturk, {Sait R.} and {van der Wel}, Michel and {van Dijk}, Dick",

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AB - 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.

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KW - Market microstructure

KW - Price discovery

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Intraday price discovery in fragmented markets

Abstract

Keywords

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