Barclay, Michael J.; Hendershott, Terrence; Jones, … - In: Journal of Financial and Quantitative Analysis 43 (2008) 01, pp. 93-121
We show that the consolidation of orders is important for producing efficient prices, especially during times of high liquidity demand. The NYSE's centralized opening call market performs better than Nasdaq's decentralized opening process on typical trading days. The NYSE is much better than...