One Security, Many Markets: Determining the Contributions to Price Discovery
提出一种计量方法，基于所有市场共有的隐含有效价格，衡量每个市场对价格发现的贡献份额。应用于道琼斯30只股票的报价，发现纽约证券交易所贡献了中位数92.7%的信息份额。
ABSTRACT When homogeneous or closely‐linked securities trade in multiple markets, it is often of interest to determine where price discovery (the incorporation of new information) occurs. This article suggests an econometric approach based on an implicit unobservable efficient price common to all markets. The information share associated with a particular market is defined as the proportional contribution of that market's innovations to the innovation in the common efficient price. Applied to quotes for the thirty Dow stocks, the technique suggests that the preponderance of the price discovery takes place at the New York Stock Exchange (NYSE) (a median 92.7 percent information share).