TY - JOUR T1 - Price Discovery: <em>The Economic Function</em> <br/> <em>of a Stock Exchange</em> JF - The Journal of Portfolio Management SP - 124 LP - 132 DO - 10.3905/jpm.2013.40.1.124 VL - 40 IS - 1 AU - Nazli Sila Alan AU - Robert A. Schwartz Y1 - 2013/10/31 UR - https://pm-research.com/content/40/1/124.abstract N2 - 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.TOPICS: Exchanges/markets/clearinghouses, volatility measures, equity portfolio management ER -