TY - JOUR
T1 - Analytical properties of Hasbrouck and generalized information shares
AU - Lien, Donald
AU - Shrestha, Keshab
AU - Lee, Lianne Mei Quin
N1 - Publisher Copyright:
© 2022
PY - 2022/10
Y1 - 2022/10
N2 - 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.
AB - 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.
KW - Generalized information share
KW - Hasbrouck information share
KW - Price discovery
UR - http://www.scopus.com/inward/record.url?scp=85134820482&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2022.103185
DO - 10.1016/j.frl.2022.103185
M3 - Article
AN - SCOPUS:85134820482
VL - 49
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
M1 - 103185
ER -