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TālisJ.Putni
What do price discovery metrics really measure?
*
Tālis J. Putniņš
University of Technology Sydney, PO Box 123 Broadway, NSW 2007, Australia
Stockholm School of Economics in Riga, Strelnieku iela 4a, Riga LV-1010, Latvia
Forthcoming, Journal of Empirical Finance
Abstract
A market is typically considered to dominate price discovery if it is the first to reflect
new information about the fundamental value. Our simulations indicate that common
price discovery metrics – Hasbrouck information share and Harris-McInish-Wood
component share – are only consistent with this view of price discovery if the price series
have equal levels of noise, including microstructure frictions and liquidity. If the noise in
the price series differs, the information and component shares measure a combination of
leadership in impounding new information and relative avoidance of noise, to varying
degrees. A third price discovery metric, the ‘information leadership share’ uses the
information share and the component share together to identify the price series that is first
to impound new information. This third metric is robust to differences in noise levels and
therefore correctly attributes price discovery in a wider range of settings. Using four
recent empirical studies of price discovery we show that the choice and interpretation of
price discovery metrics can have a substantial impact on conclusions about price
discovery.
JEL classification: G14
Keywords: price discovery, information share, component share, information leadership
share
*
Email: talis.putnins@.au.
The author is grateful to three anonymous referees for helpf
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