The relative contribution of ask and bid quotes to price discovery

Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in 47.7% (62.8%) of the stock-day observations in our SSE (NYSE) sample, being larger in average among small cap stocks. These asymmetries are not driven by noise. Ask (bid) quotes lead in days with excessive buyer (seller) initiated trading, but the relationship weakened over time and with the advent of high-frequency trading.