Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Price Discovery: The Economic Function
of a Stock Exchange

Nazli Sila Alan and Robert A. Schwartz
The Journal of Portfolio Management Fall 2013, 40 (1) 124-132; DOI: https://doi.org/10.3905/jpm.2013.40.1.124
Nazli Sila Alan
is a Ph.D. candidate at the Zicklin School of Business, Baruch College, CUNY in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: nazli.alan@baruch.cuny.edu
Robert A. Schwartz
is the Marvin M. Speiser Professor of Finance and University Distinguished Professor at the Zicklin School of Business, Baruch College, CUNY in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: robert.schwartz@baruch.cuny.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial to the PMR platform 

Abstract

This article defines an exchange according to its primary function: establishing shares’ trading prices. After establishing the public goods property of an exchange-produced price, the article stresses that price discovery is a complex process that depends on market structure. Recognizing that the quality of price discovery can be inferred from the magnitude of intraday price volatility, the authors display intraday volatility for a sample of DOW stocks, show how volatility decreased for NASDAQ stocks following the institution of NASDAQ’s calls in 2004, and trace the broader evolution of intraday volatility from 1993 to 2011.

  • © 2013 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 40 (1)
The Journal of Portfolio Management
Vol. 40, Issue 1
Fall 2013
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Price Discovery: The Economic Function of a Stock Exchange
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Price Discovery: The Economic Function
of a Stock Exchange
Nazli Sila Alan, Robert A. Schwartz
The Journal of Portfolio Management Oct 2013, 40 (1) 124-132; DOI: 10.3905/jpm.2013.40.1.124

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Price Discovery: The Economic Function
of a Stock Exchange
Nazli Sila Alan, Robert A. Schwartz
The Journal of Portfolio Management Oct 2013, 40 (1) 124-132; DOI: 10.3905/jpm.2013.40.1.124
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • PRICE DISCOVERY IS A PUBLIC GOOD
    • THE COMPLEXITY OF PRICE DISCOVERY
    • MARKET STRUCTURE MATTERS
    • INFERRING THE QUALITY OF PRICE DISCOVERY
    • A SPECIFIC STOCK/DAY VIEW OF OPENING VOLATILITY
    • THE DISNEY EXPERIENCE
    • THE DOW 30 EXPERIENCE
    • NASDAQ’S CONTROLLED EXPERIMENT
    • THE EVOLUTION OF VOLATILITY OVER TIME
    • A FOUR-WORD ANSWER
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • INVITED EDITORIAL: Combating Turbulence in the Equity Market: Get the Listed Companies on Board
  • A Liquidity Program to Stabilize Equity Markets
  • Google Scholar

More in this TOC Section

  • Editor’s Introduction for 2021 Special Issue on Factor Investing
  • PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
  • PERSPECTIVES: Seeking Sustainability in American Public Employee Pension Systems
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies