			Home About us Contact

Information Share (information + share)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2010
Kate Phylaktis
Abstract This study investigates information asymmetry in the foreign exchange market by testing the hypothesis that top trading banks possess superior information on the macroeconomy because they process greater order flow, which, according to the micro-structure literature, helps them aggregate the dispersed information and feel the general movements of the economy. Examining the information share of the banks in the Reuters EFX system using indicative GBP,$US data over 5 years, we find that the top 10 banks, out of 100 quoting banks in the market, have a monthly average share of over 70% of total market information, and around 80% during some US macroannouncements. These results suggest the possibility of private information over public news in the foreign exchange market. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Price discovery in electronic foreign exchange markets: The sterling/dollar market

THE JOURNAL OF FUTURES MARKETS, Issue 6 2010
Russell Poskitt
This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information share declines sharply when returns are computed from a mixture of GLOBEX transaction prices and Reuters D3000 midquotes. This helps explain why prior studies using this latter methodology report relatively low information shares for GLOBEX in the yen/dollar market. Variations in GLOBEX's information share on an intraday basis can be explained by variations in relative liquidity, spreads and price volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:590,606, 2010 [source]

Do small traders contribute to price discovery?

THE JOURNAL OF FUTURES MARKETS, Issue 2 2010
Evidence from the Hong Kong Hang Seng Index markets
Using one-contract-size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. (1995) and Hasbrouck, J. (1995), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:156,174, 2010 [source]

Reversing the lead, or a series of unfortunate events?

THE JOURNAL OF FUTURES MARKETS, Issue 12 2009
Amaranth, NYMEX
A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time-varying Hasbrouck-style information shares to investigate the intertemporal and cross-sectional dynamics in price discovery. The results strongly suggest that the information share is time-dependent and contract-dependent. Floor trading dominates price discovery in the less liquid longer-maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot-month contract. We find that the floor trading information share increases significantly with realized volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130,1160, 2009 [source]

A new information share measure

THE JOURNAL OF FUTURES MARKETS, Issue 4 2009
Donald Lien
In this study, we modify the information share (IS) originally proposed by Hasbrouck, J. (1995). The proposed modified information share (MIS) leads to a unique measure of price discovery instead of the upper and lower IS bounds. Performance of MIS is compared with the Hasbrouck IS measure and the Gonzalo,Granger permanent,transitory decomposition (PT/GG)-based measure using simulations with 1,000 replications applied to the same three examples considered by Hasbrouck, J. (2002). The MIS is found to outperform both Hasbrouck IS measure and PT/GG measure. The empirical application of the MIS to three major stock indices indicates that price discovery takes place mostly in the futures market. Hence, the evidence supports the transaction cost hypothesis as well as the model proposed by Garbade, K. D., and Silber, W. L. (1983). © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:377,395, 2009 [source]

Price discovery in electronic foreign exchange markets: The sterling/dollar market

Reversing the lead, or a series of unfortunate events?

Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 7 2005
Aysegul Ates
In this article the intraday price discovery process between regular index futures (floor trading) and E-mini index futures (electronic trading) in the S&P 500 and Nasdaq 100 index futures markets is examined, using intraday data from the introduction of the E-mini index futures to 2001. Using both information shares (Hasbrouck, J., 1995) and common long-memory factor weights (Gonzalo, J., & Granger, C. W. J., 1995) techniques, we find that both E-mini index futures and regular index futures contribute to the price discovery process. However, since September 1998, the contribution made by E-mini index futures has been greater than that provided by regular index futures. Based on regression analysis, we have also found direct empirical evidence to support the hypothesis that the joint effects of operational efficiency and relative liquidity determine the greater contribution made towards price discovery by electronic trading relative to open-outcry trading over time. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25: 679,715, 2005 [source]