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Analytical properties of Hasbrouck and generalized information shares

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  • Lien, Donald
  • Shrestha, Keshab
  • Lee, Lianne Mei Quin

Abstract

This paper discusses analytical properties of Hasbrouck information share (HIS) and generalized information share (GIS). We reject the conventional designation of lower and upper bounds for HIS. Moreover, we show the difference between the GIS across the two markets is larger than the corresponding difference between the average HIS. Thus, the dominance-satellite relationship is more prominent when using GIS to measure the role of price discovery. Using the data of dual-class shares of Berkshire Hathaway Inc., we find approximately 74.34% of the price discovery occurs in the B-shares market, which is consistent with the stealth trading hypothesis.

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  • Lien, Donald & Shrestha, Keshab & Lee, Lianne Mei Quin, 2022. "Analytical properties of Hasbrouck and generalized information shares," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003919
    DOI: 10.1016/j.frl.2022.103185
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    1. Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).

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