Pascual, Roberto; Pascual-Fuster, Bartolomé - In: Journal of Financial Markets 20 (2014) C, pp. 129-150
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...