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Quotes, Order Flow, and Price Discovery

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Author Info
 Blume, Marshall E
Goldstein, Michael A

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Abstract

The goal of this article is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE-listed stocks. The conclusions are that, most of the time, the New York Stock Exchange (NYSE) quote matches or determines the best displayed quote, and the NYSE is the most frequent initiator of quote changes. Non-NYSE markets attract a significant portion of their volume when they are posting inferior bids or offers, indicating they obtain order flow for other reasons, such as 'payment for order flow.' Yet, when a non-NYSE market does post a better bid or offer, it does attract additional order flow. Copyright 1997 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 52 (1997)
Issue (Month): 1 (March)
Pages: 221-44
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Handle: RePEc:bla:jfinan:v:52:y:1997:i:1:p:221-44

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  1. Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003. "Does anonymity matter in electronic limit order markets ?," Les Cahiers de Recherche 784, Groupe HEC. [Downloadable!]
    Other versions:
  2. David Kelly & Douglas Steigerwald, 2004. "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(1), pages 1167-1167. [Downloadable!] (restricted)
  3. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  4. Moez Bennouri, 2003. "Auction versus Dealership Markets," CIRANO Working Papers 2003s-67, CIRANO. [Downloadable!]
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