Information shares for markets with partially overlapping trading hours

What is it about?

When assets are traded on multiple venues, one could ask the question of which market is more important when it comes to determining the asset's value. This is done by Joel Hasbrouck in his 1995 paper "One Security, Many Markets: Determining the Contributions to Price Discovery." His methodology requires that the assets in question are traded simultaneously. However, there are assets that are related but do not trade perfectly simultaneously, like a stock and its future, for example. In our paper, we ask the question of which asset is more informative for price discovery. Our methodology allows for non-synchronous trading and, thus, switches the focus from a market to an asset point of view.

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Photo by Wance Paleri on Unsplash

Photo by Wance Paleri on Unsplash