Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96)
In its attempt to integrate the trading of NYSE-listed stocks across market places, the SEC has caused the implementation of three electronic systems which provide a partial integration of these markets. The paper analyzes the implications of this partial integration and shows how it has created market niches in which non-NYSE markets can prosper. The empirical analysis shows: The bid and asked prices of the NYSE quote equal the best prices displayed across all markets most of the time. Non-NYSE markets attract a significant portion of their volume for reasons other than matching or bettering the NYSE quote, such as "payment for order flow." When non-NYSE markets post better bids or offers, they do attract additional order flow, but substantial order flow still flows to other markets. In posting better bids or offers, non-NYSE markets do contribute to "price discovery."
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (215) 898-7616
Fax: (215) 573-8084
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:18-95. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.