We investigate competition for order flow, market quality, and price discovery in the Nasdaq 100 Index Tracking Stock (QQQ). The QQQ, an AMEX-listed, exchange-traded fund, is the most actively traded security in the U.S. equities market. On July 31, 2001, the NYSE began trading the QQQ, marking...

I re-examine price discovery on the New York Stock Exchange (NYSE) and regional exchanges. I employ three common-trend cointegration models to analyze the equilibrium dynamics between the NYSE and regional exchanges for the thirty Dow stocks. The overall results show that whether the regional...