Anand, Amber; Gatchev, Vladimir A.; Madureira, Leonardo; … - In: Journal of Financial Markets 14 (2011) 2, pp. 193-226
We use the NASDAQ market making context to study the role of geographic proximity in the price discovery of a firm's stock. We show that market makers closer to the firm's headquarters spend more time at the inside bid and ask quotes, initiate larger changes in the quotes, and account for...
