Lien, Donald; Shrestha, Keshab - In: Journal of Futures Markets 29 (2009) 4, pp. 377-395
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...