A0325
Title: Information shares for markets with partially overlapping trading hours
Authors: Thomas Dimpfl - University of Hohenheim (Germany) [presenting]
Karsten Schweikert - University of Hohenheim (Germany)
Abstract: Daily information shares for markets with partially overlapping trading hours are studied. The established methodologies consider price discovery measures computed either for exactly overlapping trading hours or in sequential markets. In contrast, we develop a framework that exploits all price information generated during a full trading day where any market can be open or closed at any time and propose a contribution-weighted information share. We apply this new method to the S\&P500 ETF and E-mini futures markets and find that conventional information shares for the ETF market are overestimated. E-mini futures are traded almost continuously throughout the trading day and process additional pricing relevant information when the ETF market is closed.