Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index...

Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index...

We examine the role of trades in restoring price parity for equities trading in multiple markets. Using a sample of stocks trading on the Toronto Stock Exchange and on the NYSE, AMEX or NASDAQ, we contrast price convergence when market makers (a) observe only lagged quotes from both markets and...