A Factor Analytical Approach to Price Discovery

Research output: Contribution to journalArticle

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.

Details

Authors
Organisations
External organisations
  • Deakin University
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • Common factor models, Cross-unit cointegration, Panel data, Price discovery
Original languageEnglish
Pages (from-to)366-394
JournalOxford Bulletin of Economics and Statistics
Volume79
Issue number3
Early online date2017 Feb 24
Publication statusPublished - 2017 Jun
Publication categoryResearch
Peer-reviewedYes

Related research output

Simon Reese, 2017 Mar 2, Lund: Lund University (Media-Tryck). 227 p.

Research output: ThesisDoctoral Thesis (compilation)

Simon Reese, Joakim Westerlund & Narayan, P., 2015, Department of Economics, Lund Universtiy, 35 p. (Working Paper / Department of Economics, School of Economics and Management, Lund University; no. 4).

Research output: Working paper

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