Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets.

The error correction coefficients, known as the loading factors, are a key component for information share. To date, only constant loading factors have been considered for information share. This paper attempts to consider the autoregressive loading factors and their implications on the information share. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in information share compared to the constant loading factor model. Overall, this research provides supporting empirical evidence for using autoregressive loading factors for the information share measurement. [ABSTRACT FROM AUTHOR]