Department of Economics and Business Economics

Intraday price discovery in fragmented markets

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Sait R. Ozturk, Erasmus School of Economics, Tinbergen Institute
  • ,
  • Michel van der Wel
  • Dick van Dijk, Erasmus School of Economics, Tinbergen Institute

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
ISSN1386-4181
DOIs
Publication statusPublished - 2017

    Research areas

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

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