Jahanshahloo, Hossein  ORCID: https://orcid.org/0000-0003-0786-2415 and Spokeviciute, Laima ORCID: https://orcid.org/0000-0002-6563-5790
2018.
A modification to the WPC model.
Economics Letters
171
, pp. 76-78.
10.1016/j.econlet.2018.07.019
|
Preview |
PDF
- Accepted Post-Print Version
Download (390kB) | Preview |
Official URL: http://dx.doi.org/10.1016/j.econlet.2018.07.019
Abstract
We modify the Barclay and Warner (1993) Weighted Price Contribution model – which measures market participants’ contribution to price discovery process – to incorporate price movements that extend beyond the final price. We validate our model with an empirical illustration.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Business (Including Economics) |
| Publisher: | Elsevier |
| ISSN: | 0165-1765 |
| Date of First Compliant Deposit: | 18 February 2019 |
| Date of Acceptance: | 11 July 2018 |
| Last Modified: | 05 May 2023 14:18 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/118565 |
Citation Data
Cited 1 time in Scopus. View in Scopus. Powered By Scopus® Data
Actions (repository staff only)
 |
Edit Item |
Dimensions
Dimensions