| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4439 |
| DP4439 Regulated Efficiency, World Trade Organization Accession and the Motor Vehicle Sector in China | |
| Dean Spinanger; Joseph Francois | |
| 发表日期 | 2004-06-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | In this Paper we propose a tick time model for dealer quote interactions using ultra-high-frequency data. This model includes duration functions to measure the time dependence of volatility as well as information asymmetry. In order to assess price discovery we define several measures in tick time. These measures can be aggregated to calendar time and we define a comparable measure to Hasbrouck (1995) information shares. In our empirical part we examine the Island and Instinet Electronic Communication Networks, and three wholesale market makers for 20 actively traded stocks with varying liquidity at Nasdaq. Our results include that volatility does not increase with the duration between quote updates, and that longer quote durations lead to lower price discovery. In terms of price discovery we find that ECNs tend to dominate the liquid stocks, whereas market makers dominate the less liquid stocks. |
| 主题 | Financial Economics |
| 关键词 | Price discovery Tick time models Nasdaq Ultra-high frequency data Microstructure |
| URL | https://cepr.org/publications/dp4439 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533392 |
| 推荐引用方式 GB/T 7714 | Dean Spinanger,Joseph Francois. DP4439 Regulated Efficiency, World Trade Organization Accession and the Motor Vehicle Sector in China. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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