TY - JOUR
T1 - Price Discovery: The Economic Function of a Stock Exchange
AU - Alan, Nazli Sila
AU - Schwartz, Robert A.
PY - 2013/1/1
Y1 - 2013/1/1
N2 - This article defines an exchange according to its primary function: establishing shares’ trading prices. After establishing the public goods property of an exchange-produced price, the article stresses that price discovery is a complex process that depends on market structure. Recognizing that the quality of price discovery can be inferred from the magnitude of intraday price volatility, the authors display intraday volatility for a sample of DOW stocks, show how volatility decreased for NASDAQ stocks following the institution of NASDAQ’s calls in 2004, and trace the broader evolution of intraday volatility from 1993 to 2011.
AB - This article defines an exchange according to its primary function: establishing shares’ trading prices. After establishing the public goods property of an exchange-produced price, the article stresses that price discovery is a complex process that depends on market structure. Recognizing that the quality of price discovery can be inferred from the magnitude of intraday price volatility, the authors display intraday volatility for a sample of DOW stocks, show how volatility decreased for NASDAQ stocks following the institution of NASDAQ’s calls in 2004, and trace the broader evolution of intraday volatility from 1993 to 2011.
UR - https://digitalcommons.fairfield.edu/business-facultypubs/167
UR - https://libraryapps.fairfield.edu/openurl?sid=google&auinit=NS&aulast=Alan&atitle=Price+discovery:+the+economic+function+of+a+stock+exchange&id=doi:10.3905/jpm.2013.40.1.124&title=Journal+of+portfolio+management&volume=40&issue=1&date=2013&spage=124&issn=0095-4918&newUI=1clickoff
U2 - 10.3905/jpm.2013.40.1.124
DO - 10.3905/jpm.2013.40.1.124
M3 - Article
VL - 40
JO - The Journal of Portfolio Management
JF - The Journal of Portfolio Management
ER -