Quotes, Order Flow, and Price Discovery
J. OF FINANCE, Vol. 52 No. 1, March 1997
Posted: 18 Dec 1996
There are 2 versions of this paper
Quotes, Order Flow, and Price Discovery
Quotes, Order Flow, and Price Discovery
Abstract
The goal of this paper is to examine the impact of the 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 order flow." Yet, when a non-NYSE market does post a better bid or offer, it does attract additional order flow.
JEL Classification: G19
Suggested Citation: Suggested Citation
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)
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