The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA

Autor:	Marc W. Simpson, Jose F. Moreno, Teofilo Ozuna
Rok vydání:	2011
Předmět:	Cost price Financial economics Accounting Mid price Economics Arbitrage General Business Management and Accounting Price discovery Stock market index Finance Stock dilution Market maker Stock (geology)
Zdroj:	Review of Quantitative Finance and Accounting. 38:347-365
ISSN:	1573-7179 0924-865X
DOI:	10.1007/s11156-011-0232-5
Popis:	The main purpose of this paper is to construct an intraday arbitrage price series for each stock in the DJIA using information in the Diamond Trust Fund ETF. We then compute the information shares (Hasbrouck in J Finan 50(4):1175–1199, 1995) for the actual versus the arbitrage prices for each stock. While previous literature documents that ETFs lead stock indices in information origination, we find that some firms are “information leaders” in that the information share that comes from the stock price is larger than that which comes from the ETF-related arbitrage price. Further analysis is conducted to uncover the firm-specific factors that are related to a stock’s role in information generation.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6d04036d6afa833bb4e60337633be6a5 https://doi.org/10.1007/s11156-011-0232-5 Zobrazit plný text záznamu Full text from SpringerLink