タイトル(掲載誌)Discussion Papers In Economics And Business
一般注記Price discovery is an important built-in function of financial markets and the central issue in the market microstructure research. Market participants need to know whether the price discovery has been achieved or how much progress has been made in order to trade at an appropriate price they consider. Since various economic events such as earnings announce?ment affect the price discovery, the intraday transition of price discovery varies date-by-date. In this study, we propose a statistical method to see when and how fast the intraday price discovery progresses using the high frequency price series on a daily basis. The proposed method consists of estimating three candidate models which gauge the different types of price discovery progress, i.e. no progress, smooth progress and abrupt progress, and se?lecting the most appropriate model based on Bayesian approach. We conduct simulation analysis to assess the performance of our proposed method and confirm that the method depicts the state of price discovery appropriately. The empirical study using the Japanese stock market index shows that the proposed method well categorizes the intraday price discovery progresses on a daily basis.
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)