Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's test yields two cointegrating vectors, which together verify the...

This paper investigates the order in which new information is first reflected in the market – through changes in spreads or through updated depths. We develop an error correction model of spreads and depths and estimate Gonzalo-Granger common factor components using two years of tick-by-tick...

Purpose – The purpose of this paper is to investigate the cross-sectional determinants of the role of the underwriter in aftermarket price discovery. Design/methodology/approach – The paper estimates Gonzalo-Granger common factor weights across underwriter and non-underwriter execution...

We show that whether or not a bank/brokerage firm has top-rated financial analysts and high Wall Street Search rankings for their research is significantly related to that firm's contribution to price discovery, the process by which information is incorporated into stock prices. Our study...

This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the...