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- W4385454346 abstract "We study daily information shares for markets with partially overlapping trading hours. The established methodologies consider price discovery measures computed either for exactly overlapping trading hours or in sequential markets. In contrast, we develop a framework that exploits all price information generated during a full trading day where any of the markets can be open or closed at any time and propose a contribution-weighted information share. We apply this new method to the S&P 500 and NASDAQ-100 ETF and E-mini futures markets and find that conventional information shares for the ETF markets are overestimated. E-mini futures are traded almost continuously throughout the trading day and process additional pricing relevant information when the ETF markets are closed." @default.
- W4385454346 created "2023-08-02" @default.
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- W4385454346 date "2023-09-01" @default.
- W4385454346 modified "2023-10-18" @default.
- W4385454346 title "Information shares for markets with partially overlapping trading hours" @default.
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- W4385454346 doi "https://doi.org/10.1016/j.jbankfin.2023.106970" @default.
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