Quotes, Order Flow, and Price Discovery

J. OF FINANCE, Vol. 52 No. 1, March 1997

Posted: 18 Dec 1996

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

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

Blume, Marshall E. and Goldstein, Michael A., Quotes, Order Flow, and Price Discovery. J. OF FINANCE, Vol. 52 No. 1, March 1997. Available at SSRN: https://ssrn.com/abstract=8037

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/

Register to save articles to
your library

Register

Paper statistics

Abstract Views
870
PlumX Metrics