Quotes, Order Flow, and Price Discovery
Rodney L. White Center Working Paper No. 03-96 (Revision of No. 18-95)
Posted: 12 Oct 1995
Date Written: Undated
The goal of this paper is to examine the impact of 1975 Congressional mandate to integrate the trading of NYSE listed stocks. The conclusions are: Most of the time, the 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.
JEL Classification: G18
Suggested Citation: Suggested Citation