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 newspaperJournal articleResearchpeer-review

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 languageEnglish
JournalJournal of Financial Markets
Volume32
Pages (from-to)28-48
Number of pages21
ISSN1386-4181
DOIs
Publication statusPublished - 2017

Keywords

  • High-frequency data
  • Kalman filter
  • Market microstructure
  • Price discovery

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