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A Factor Analytical Approach to Price Discovery

Westerlund, Joakim LU ; Reese, Simon LU and Narayan, Paresh (2017) In Oxford Bulletin of Economics and Statistics
Abstract

Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.

Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
epub
subject
keywords
Common factor models, Cross-unit cointegration, Panel data, Price discovery
in
Oxford Bulletin of Economics and Statistics
publisher
Wiley-Blackwell
external identifiers
  • scopus:85013784851
  • wos:000399912000004
ISSN
0305-9049
DOI
10.1111/obes.12167
language
English
LU publication?
yes
id
650d2c6d-1bfa-41ea-baa7-69fe9c2f34a7
date added to LUP
2017-03-09 08:14:16
date last changed
2018-01-07 11:54:43
@article{650d2c6d-1bfa-41ea-baa7-69fe9c2f34a7,
  abstract     = {<p>Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.</p>},
  author       = {Westerlund, Joakim and Reese, Simon and Narayan, Paresh},
  issn         = {0305-9049},
  keyword      = {Common factor models,Cross-unit cointegration,Panel data,Price discovery},
  language     = {eng},
  month        = {02},
  publisher    = {Wiley-Blackwell},
  series       = {Oxford Bulletin of Economics and Statistics},
  title        = {A Factor Analytical Approach to Price Discovery},
  url          = {http://dx.doi.org/10.1111/obes.12167},
  year         = {2017},
}