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Discussion Paper Details

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Title: Price Discovery in Fragmented Markets

Author(s): Frank de Jong and Peter C Schotman

Publication Date: July 2003

Keyword(s): high-frequency data, microstructure and structural time series models

Programme Area(s): Financial Economics

Abstract: This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.

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Bibliographic Reference

de Jong, F and Schotman, P. 2003. 'Price Discovery in Fragmented Markets'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=3987