Information shares for markets with partially overlapping trading hours
针对交易时间部分重叠的市场，提出一种贡献加权信息份额方法，利用全天价格信息，发现传统方法高估了ETF市场的信息份额，而E-mini期货在ETF休市时处理了更多定价信息。
We study daily information shares for markets with partially overlapping trading hours. The established methodologies consider price discovery measures computed either for exactly overlapping trading hours or in sequential markets. In contrast, we develop a framework that exploits all price information generated during a full trading day in which any market can be open or closed at any time and propose a contribution-weighted information share. We apply this new method to the S&P 500 and NASDAQ-100 ETF and E-mini futures markets. It turns out that conventional information shares for the ETF markets are overestimated. E-mini futures are traded almost continuously throughout the trading day and process additional pricing relevant information when the ETF markets are closed.