Quotes, Order Flow, and Price Discovery

Rodney L. White Center Working Paper No. 03-96 (Revision of No. 18-95)

Posted: 12 Oct 1995

See all articles by Marshall E. Blume

Marshall E. Blume

University of Pennsylvania - Finance Department

Michael A. Goldstein

Babson College - Finance Division

Multiple version iconThere are 2 versions of this paper

Date Written: Undated

Abstract

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

Blume, Marshall E. and Goldstein, Michael A., Quotes, Order Flow, and Price Discovery (Undated). Rodney L. White Center Working Paper No. 03-96 (Revision of No. 18-95). Available at SSRN: https://ssrn.com/abstract=7703

Marshall E. Blume (Contact Author)

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7616 (Phone)
215-573-8084 (Fax)

Michael A. Goldstein

Babson College - Finance Division ( email )

320 Tomasso Hall
Babson Park, MA 02457-0310
United States
781-239-4402 (Phone)
781-239-5004 (Fax)

HOME PAGE: http://faculty.babson.edu/goldstein/

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