Journal article
Price improvement and price discovery on a primary market
Journal of portfolio management, Vol.25(3), pp.55-64
04/01/1999
DOI: 10.3905/jpm.1999.319713
Abstract
This article analyzes the relationship between price improvement and price discovery on the American Stock Exchange. Empirical evidence based on October 1996 quote and transaction data on the magnitude and frequency of price improvement and on price improvement's relationship to price discovery is presented. Price improvement in the period was substantial, averaging 1.43 cents per share for orders delivered by the Amex's electronic order delivery system and 6.81 cents per share for orders entered non-electronically. The empirical evidence presented suggest that buy and sell orders are selectively price-improved at the Amex, depending on current market conditions, and thus that price improvements is linked to price discovery. These findings have implications for order flow consolidation in a major market center.
Details
- Title: Subtitle
- Price improvement and price discovery on a primary market
- Creators
- Puneet Handa - University of IowaRobert Schwartz - Baruch CollegeAshish Tiwari - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of portfolio management, Vol.25(3), pp.55-64
- Publisher
- Pageant Media
- DOI
- 10.3905/jpm.1999.319713
- ISSN
- 0095-4918
- eISSN
- 2168-8656
- Language
- English
- Date published
- 04/01/1999
- Academic Unit
- Finance
- Record Identifier
- 9984380479202771
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