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A new information share measure

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Cited by:

  1. Karsten Schweikert, 2021. "Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares [Price Discovery and Common Factor Models]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 934-959.
  2. Shrestha, Keshab & Subramaniam, Ravichandran & Thiyagarajan, Thangarajah, 2020. "Price Discovery in Agricultural Markets," American Business Review, Pompea College of Business, University of New Haven, vol. 23(1), pages 53-69, May.
  3. Chakrabarty, Bidisha & Cox, Justin & Upson, James E., 2022. "Tick Size Pilot Program and price discovery in U.S. stock markets," Journal of Financial Markets, Elsevier, vol. 59(PB).
  4. Yu-Lun Chen & Yin-Feng Gau & Wen-Ju Liao, 2016. "Trading activities and price discovery in foreign currency futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 793-818, May.
  5. Hua Wang & Liao Xu, 2019. "Do exchange‐traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1525-1548, March.
  6. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(5), pages 1482-1498.
  7. Yu-Lun Chen, 2020. "News announcements and price discovery in the RMB–USD market," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1487-1508, May.
  8. Sarveshwar Kumar Inani, 2018. "Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 129-154, March.
  9. Paolo Pagnottoni & Thomas Dimpfl, 2019. "Price discovery on Bitcoin markets," Digital Finance, Springer, vol. 1(1), pages 139-161, November.
  10. Azhar Mohamad & Sarveshwar Kumar Inani, 2023. "Price discovery in bitcoin spot or futures during the Covid-19 pandemic? Evidence from the time-varying parameter vector autoregressive model with stochastic volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 30(19), pages 2749-2757, November.
  11. Martin Stefan & Claudia Wellenreuther, 2019. "London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS," CQE Working Papers 8719, Center for Quantitative Economics (CQE), University of Muenster.
  12. Marcelo Fernandes & Cristina M. Scherrer, 2018. "Price discovery in dual‐class shares across multiple markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 129-155, January.
  13. Shao, Mingao & Hua, Yongjun, 2022. "Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market," Energy Economics, Elsevier, vol. 112(C).
  14. Xu, Liao & Yin, Xiangkang, 2017. "Does ETF trading affect the efficiency of the underlying index?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 82-101.
  15. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  16. Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2018. "Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896," CQE Working Papers 7618, Center for Quantitative Economics (CQE), University of Muenster.
  17. Ziliang Yu & Jian Yang & Robert I. Webb, 2023. "Price discovery in China's crude oil futures markets: An emerging Asian benchmark?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 297-324, March.
  18. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
  19. Qianqian Mao & Jens-Peter Loy & Thomas Glauben & Yanjun Ren, . "Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 0.
  20. Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).
  21. Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
  22. Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2020. "Metal prices made in China? A network analysis of industrial metal futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1354-1374, September.
  23. Qianqian Mao & Jens-Peter Loy & Thomas Glauben & Yanjun Ren, 2023. "Are futures markets functioning well for agricultural perishables? Evidence from China's apple futures market," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(12), pages 471-484.
  24. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
  25. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
  26. Wang, Jianxin & Yang, Minxian, 2015. "How well does the weighted price contribution measure price discovery?," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 113-129.
  27. Hou, Yang & Li, Steven, 2017. "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper 81999, University Library of Munich, Germany.
  28. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021. "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 107-120.
  29. Dimpfl, Thomas & Peter, Franziska J., 2019. "Group transfer entropy with an application to cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 543-551.
  30. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
  31. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
  32. Wei-Kuang Chen & Ching-Ting Lin & Cheng-Yi Shiu, 2019. "Price discovery and price leadership of various investor types: evidence from Taiwan futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 601-631, August.
  33. Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian, 2023. "Option features and price discovery in convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 384-403, March.
  34. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Quantile information share under Markov regime‐switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 493-513, April.
  35. Kim, Jaeho & Linn, Scott C., 2022. "Price discovery under model uncertainty," Energy Economics, Elsevier, vol. 107(C).
  36. Piccotti, Louis R. & Schreiber, Ben Z., 2015. "Information shares of two parallel currency options markets: Trading costs versus transparency/tradability," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 210-229.
  37. Lien, Donald & Shrestha, Keshab & Lee, Lianne Mei Quin, 2022. "Analytical properties of Hasbrouck and generalized information shares," Finance Research Letters, Elsevier, vol. 49(C).
  38. Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
  39. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
  40. Kitamura, Yoshihiro, 2024. "The price discovery in the renminbi/USD market: Two spot, two swap, and three forward FX rates," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  41. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
  42. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
  43. Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2021. "Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 226-244, February.
  44. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 101(5), pages 1482-1498, October.
  45. Martinez, Valeria & Tse, Yiuman, 2019. "The impact of tick-size reductions in foreign currency futures markets," Finance Research Letters, Elsevier, vol. 28(C), pages 32-38.
  46. Hong Li & Yanlin Shi, 2022. "Robust information share measures with an application on the international crude oil markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 555-579, April.
  47. Bohl, Martin T. & Siklos, Pierre L. & Stefan, Martin & Wellenreuther, Claudia, 2020. "Price discovery in agricultural commodity markets: Do speculators contribute?," Journal of Commodity Markets, Elsevier, vol. 18(C).
  48. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
  49. Michael Funke & Julius Loermann & Andrew Tsang, 2022. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 606-628, May.
  50. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
  51. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
  52. Shen, Shulin & Sultan, Syed Galib & Zivot, Eric, 2024. "Price discovery share: An order invariant measure of price discovery," Finance Research Letters, Elsevier, vol. 67(PA).
  53. Joakim Westerlund & Simon Reese & Paresh Narayan, 2017. "A Factor Analytical Approach to Price Discovery," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(3), pages 366-394, June.
  54. Dan Zhang & Arash Farnoosh & Frédéric Lantz, 2022. "Does Something Change in the Oil Market with the COVID-19 Crisis ?," Post-Print hal-03601767, HAL.
  55. Fricke, Christoph & Menkhoff, Lukas, 2011. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
  56. Letife Özdemir & Ercan Özen & Simon Grima & Yannis Thalassinos, 2019. "Causality between Spot and Future Markets of the Borsa Istanbul Index and the Dow Jones Industrial Average," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 9(3-4), pages 115-131.
  57. Wu, Liang & Liu, Hengzhi & Liu, Chang & Long, Yunshen, 2020. "Determining the information share of liquidity and order flows in extreme price movements," Economic Modelling, Elsevier, vol. 93(C), pages 559-575.
  58. Madhusudan Karmakar & Sarveshwar Inani, 2019. "Information share and its predictability in the Indian stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1322-1343, October.
  59. Yang Hou & Steven Li & Fenghua Wen, 2021. "Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 91-110, July.
  60. Arzandeh, Mehdi & Frank, Julieta, 2017. "The Information Content of the Limit Order Book," 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON 253251, Canadian Agricultural Economics Society.
  61. Xu, Feng & Wan, Difang, 2015. "The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China," Finance Research Letters, Elsevier, vol. 15(C), pages 221-231.
  62. Prashant Sharma & Gaurav Agrawal & Geetika Arora & Dinesh Kumar Sharma & Varun Chotia, 2023. "Research on Price Discovery in Financial Securities: Trends and Directions for Future Research," JRFM, MDPI, vol. 16(9), pages 1-19, September.
  63. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
  64. Hou, Yang (Greg) & Xu, Danyang & Oxley, Les & Goodell, John W., 2024. "Price discovery of climate risk and green bonds: A dynamic information leadership share approach," Finance Research Letters, Elsevier, vol. 69(PB).
  65. Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018. "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 153-166.
  66. Dirk G. Baur & Thomas Dimpfl, 2019. "Price discovery in bitcoin spot or futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 803-817, July.
  67. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
  68. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  69. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
  70. Qingfeng “Wilson” Liu & Hui Sono & Wei Zhang, 2021. "The Price Discovery Processes in China, India, and Russia’s Stock Index Futures Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 24(03), pages 1-28, September.
  71. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
  72. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2018. "Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 168-186.
  73. Rahul Kumar Singh, 2023. "Efficiency of Wheat Futures across APMC Mandis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(3), pages 681-701, September.
  74. Donald Lien & Zijun Wang, 2016. "Estimation of Market Information Shares: A Comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(11), pages 1108-1124, November.
  75. Stefan, Martin & Wellenreuther, Claudia, 2020. "London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS," Economics Letters, Elsevier, vol. 188(C).
  76. Yu‐Lun Chen & J. Jimmy Yang, 2024. "Time‐varying price discovery in regular and microbitcoin futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 103-121, January.
  77. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
  78. Dan Zhang & Arash Farnoosh & Frédéric Lantz, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, CEPII research center, issue 169, pages 252-268.
  79. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Price discovery in carbon exchange traded fund markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
  80. Mohamad, Azhar, 2022. "Safe flight to which haven when Russia invades Ukraine? A 48-hour story," Economics Letters, Elsevier, vol. 216(C).
  81. Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  82. Buckle, Mike & Chen, Jing & Guo, Qian & Tong, Chen, 2018. "Do ETFs lead the price moves? Evidence from the major US markets," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 91-103.
  83. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.
  84. Çağlayan-Gümüş, Ayşe & Karahan, Cenk C., 2024. "Information content of the limit order book: A cross-sectional analysis in Borsa Istanbul," Global Finance Journal, Elsevier, vol. 62(C).
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