Analytical properties of Hasbrouck and generalized information shares

Donald Lien, Keshab Shrestha, Lianne Mei Quin Lee

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Abstract

This paper discusses analytical properties of Hasbrouck information share (HIS) and generalized information share (GIS). We reject the conventional designation of lower and upper bounds for HIS. Moreover, we show the difference between the GIS across the two markets is larger than the corresponding difference between the average HIS. Thus, the dominance-satellite relationship is more prominent when using GIS to measure the role of price discovery. Using the data of dual-class shares of Berkshire Hathaway Inc., we find approximately 74.34% of the price discovery occurs in the B-shares market, which is consistent with the stealth trading hypothesis.

Original languageEnglish
Article number103185
Number of pages8
JournalFinance Research Letters
Volume49
DOIs
Publication statusPublished - Oct 2022

Keywords

  • Generalized information share
  • Hasbrouck information share
  • Price discovery

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