Improving information leadership share for measuring price discovery

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2025-08-26 DOI:10.1016/j.jempfin.2025.101638

Shulin Shen , Yixuan Zhang , Eric Zivot

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引用次数: 0

Abstract

We propose an improvement to the information leadership (IL) measure of price discovery of Yan and Zivot (2010), and the information leadership share (ILS) measure of Putniņš (2013). Our improved PIL and PILS measures integrate the price discovery share (PDS) of Shen et al. (2024) with the component share (CS) measure. Our improved PIL measure accurately reflects the ratio of initial responses of competing markets to a permanent shock in the presence of correlated reduced-form vector error correction model residuals, thereby substantially generalizing the IL measure for practical applications. Simulation evidence strongly supports the superiority of our improved PIL measure over a wide spectrum of existing price discovery metrics (Lien and Shrestha, 2009; Putniņš, 2013; Sultan and Zivot, 2015; Patel et al., 2020). We demonstrate the effectiveness of our improved measure by examining price discovery for various Chinese stocks cross-listed in Shanghai and Hong Kong (SH-HK) both before and after the initiation of the Shanghai-Hong Kong Stock Connect.

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提高衡量价格发现的信息领导份额

我们提出了对Yan和Zivot（2010）的价格发现的信息领导（IL）度量和Putniņš（2013）的信息领导份额（ILS）度量的改进。我们改进的PIL和PIL指标将Shen等人（2024）的价格发现份额（PDS）与组件份额（CS）指标相结合。我们改进的PIL测量准确地反映了在相关的简化形式矢量误差校正模型残差存在的情况下，竞争市场的初始反应与永久冲击的比率，从而在实际应用中大大推广了IL测量。模拟证据有力地支持了我们改进的PIL措施优于现有价格发现指标的广泛范围（Lien和Shrestha, 2009; Putniņš， 2013； Sultan和Zivot, 2015； Patel等人，2020）。我们通过研究沪港通启动前后在上海和香港交叉上市的各种中国股票（SH-HK）的价格发现来证明我们改进措施的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.