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 |
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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 |
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Date Type: | Publication |
Status: | Published |
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 |
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