Estimation of Market Information Shares: A Comparison

2016 ◽  
Vol 36 (11) ◽  
pp. 1108-1124 ◽  
Author(s):  
Donald Lien ◽  
Zijun Wang
Keyword(s):  
Market Information ◽  
Information Shares

Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares*

2019 ◽  
Author(s):  
Karsten Schweikert
Keyword(s):  
Price Discovery ◽  
Common Factor ◽  
Confidence Bands ◽  
Empirical Finance ◽  
Market Information ◽  
Bootstrap Confidence Intervals ◽  
Similar Information ◽  
Information Shares ◽  
The One ◽  
Correct Size

Abstract Market information shares are widely used in empirical finance to measure one market’s contributions to price discovery. In contrast to common factor components, the literature on market information shares only provides rudimentary tools to test general hypotheses. Using Monte Carlo simulations, we show that bootstrap confidence bands proposed by Sapp (2002) perform well if markets have similar information shares but are too narrow if one market dominates price discovery. We design a new bootstrap-based method to test the “one-central-market” hypothesis and show that our tests have correct size and substantial power against the null hypothesis. Empirical results in the context of CDS and bonds markets complement the theoretical analysis.

Telltale Tails: A New Approach to Estimating Unique Market Information Shares

2013 ◽  
Vol 48 (2) ◽  
pp. 459-488 ◽  
Author(s):  
Joachim Grammig ◽  
Franziska J. Peter
Keyword(s):  
Lower Bounds ◽  
Market Design ◽  
Tail Dependence ◽  
Upper And Lower Bounds ◽  
Market Information ◽  
Information Share ◽  
New Approach ◽  
Multiple Markets ◽  
Efficient Price ◽  
Information Shares

AbstractThe trading of securities on multiple markets raises the question of each market’s share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions, thereby resolving the main drawback of the widely used Hasbrouck (1995) methodology, which merely provides upper and lower bounds of a market’s information share. We show how tail dependence of price changes, which may emerge as a result of differences in market design, can be exploited to estimate unique information shares. Two empiricalapplications illustrate the practical use of the new methodology.

PEMASARAN SELEDRI DI DESA OEPAHA KECAMATAN NEKAMESE KABUPATEN KUPANG

2020 ◽  
Vol 21 (2) ◽  
pp. 122-129
Author(s):  
Maria C K Nadjib ◽  
Alfetri N.P Lango ◽  
Paulus Un
Keyword(s):  
Sampling Methods ◽  
Descriptive Analysis ◽  
Marketing Channel ◽  
Simple Random Sampling ◽  
Market Information ◽  
Snowball Sampling ◽  
Zero Level ◽  
Farming Community ◽  
Profit Analysis ◽  
The Village

The research, which was conducted in the village of Oepaha, Nekamese District, Kupang Regency, from June to July 2019, aims to identify marketing channels, capabilities and margins, and the share and benefits of celery marketing for farmers. The location of the research was determined using purposive sampling methods, considering that the location was the most important supplier area for celery in Kupang Regency. The population in this study was the farming community in Oepaha Village, Nekamese district, Kupang Regency,in the amount of 96 celery farmers. The sampling methods is carried out by simple random sampling according to the Slovenian formula, so that a sample of 49 celery farmers is obtained. Sampling for marketing institutions was determined by selecting the marketing institutions which directly involved in celery marketing using snowball sampling methods. In the end, respondents selected marketing institutes consisting of village collectors amounted to 4 people and retailers amounted to 4 people. The analysis of the data used in this study includes descriptive analysis, marketing margin analysis, farmer's share analysis and marketing profit analysis. The results showed that the marketing channel for celery carried out by farmers consisted of two channels, namely farmers directly to consumers and farmers to consumers through intermediaries, namely village collectors and retailers. Celery marketing functions that arise are the functions of sales, purchases, transport, standardization and financing and market information on the zero level channel,while sales, purchasing, transportation, storage, standardization, and financing, as well as market information, run on the second level channel. The marketing margin at zero level is Rp. 51.000,-, while the second level marketing channel is Rp. 17,000 at the collector and Rp. 34,000 at the retailer. The percentage of farmer’s share received by farmers is 25% at zero level and 25% at second level channel. The profit from celery marketing in the zero level marketing channel is Rp. 8.261 (farmers), the second level marketing channel is Rp. 16,688 (farmers), Rp. 15.267 (collectors' traders), Rp. 28,029 (retailers).

Cash, Food or Vouchers in Urban and Rural Kenya? An Application of the Market Information and Food Insecurity Response Analysis Framework

2011 ◽  
Author(s):  
Hope C. Michelson ◽  
Erin Lentz ◽  
Rich Mulwa ◽  
Mitchell Morey ◽  
Laura Cramer ◽  
...  
Keyword(s):  
Food Insecurity ◽  
Response Analysis ◽  
Market Information ◽  
Analysis Framework ◽  
Rural Kenya
Sign in / Sign up

Export Citation Format

Share Document