Telltale Tails: A New Approach to Estimating Unique Market Information Shares
利用多元金融价格过程的尾部依赖特征，解决了Hasbrouck（1995）方法只能给出信息份额上下界的缺陷，实现了对每个市场独特信息份额的估计，并通过两个实证应用展示了新方法的实用性。
Abstract The trading of securities on multiple markets raises the question of each market’s share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions, thereby resolving the main drawback of the widely used Hasbrouck (1995) methodology, which merely provides upper and lower bounds of a market’s information share. We show how tail dependence of price changes, which may emerge as a result of differences in market design, can be exploited to estimate unique information shares. Two empiricalapplications illustrate the practical use of the new methodology.