# NYSE Dominates Price Discovery: 92.7% Information Share

Cite as: Gorak, R. (2026). NYSE Dominates Price Discovery: 92.7% Information Share. Tradicted. https://www.tradicted.com/research/hasbrouck-price-1995/
Paper: Joel Hasbrouck — *One Security, Many Markets: Determining the Contributions to Price Discovery*
Published in: Journal of Finance (1995)
Original: https://doi.org/10.1111/j.1540-6261.1995.tb04054.x
DOI: 10.1111/j.1540-6261.1995.tb04054.x

Key finding: Applied to quotes for the thirty Dow stocks from August through October 1993, the NYSE's median information share was 92.7 percent.

---
Information share measures how much of a security's price discovery occurs in a given market when that security trades in multiple markets at once. Hasbrouck (1995) introduces this measure in *One Security, Many Markets: Determining the Contributions to Price Discovery*. He analyzed NYSE Trade and Quote data for the thirty Dow stocks from August to October 1993, with a median information share of 92.7 percent. For 28 of the 30 stocks, the NYSE's information share exceeded its share of trading volume.

## What the Study Found

The NYSE's mean information share across the sample was 91.3 percent, with a standard deviation of 5.5 percentage points. On average, the NYSE's information share exceeded its market share of trading volume by 7.0 percentage points, with a standard error of 1.1 percentage points. The NYSE's median quoted spread was 15.8 cents per share, compared with a median off-NYSE spread of 21.8 cents per share. The NYSE's information share was most strongly correlated with its volume market share for trades of 2,501 to 10,000 shares, at 0.383.

> "The results suggest that price discovery appears to be concentrated at the NYSE: the median information share is 92.7 percent."
>
> Hasbrouck (1995), *One Security, Many Markets: Determining the Contributions to Price Discovery*, p. 1199.

## Methodology

The study uses NYSE Trade and Quote (TAQ) quote data. The sample covers the thirty stocks in the Dow Jones Industrial Average. Quotes are sampled at one-second intervals from August through October 1993. The model is a cointegrated vector autoregression of NYSE and best non-NYSE bid and offer quotes, with polynomial distributed lags and opening volume excluded.

## Key Statistics

| Metric | Finding | Context |
|---|---|---|
| Median NYSE information share | 92.7% | Thirty Dow stocks, Aug–Oct 1993 |
| Mean NYSE information share | 91.3% (std. dev. 5.5) | Thirty Dow stocks, Table IV |
| NYSE information share above its volume market share | 7.0 percentage points (S.E. 1.1) | Thirty Dow stocks, cross-firm mean |
| Stocks where information share exceeded volume market share | 28 of 30 | Full sample |
| Median NYSE quoted spread | 15.8 cents/share | Time-weighted average, Aug–Oct 1993 |
| Information share (uncorrelated innovations) | S_j = ψ_j²Ω_jj / ψΩψ′ | Eq. (14) |
| Information share (Cholesky factorization) | S_j = ([ψF]_j)² / ψΩψ′ | Eq. (16) |

## NYSE vs Off-NYSE Quotes

| Measure | NYSE | Off-NYSE |
|---|---|---|
| Median quoted spread | 15.8 cents/share | 21.8 cents/share |
| Median bid "away" from NYSE | 0 (benchmark) | 3.1 cents/share |
| Median offer "away" from NYSE | 0 (benchmark) | 2.2 cents/share |

## Why This Matters

The finding suggests that market-design debates about fragmented equity trading should focus on the primary market's role in price formation. Trading volume alone is not a sufficient guide to where prices are actually being set. Venues that merely match buyers and sellers at an already-established price may be appropriating value created by the market that discovers it. For traders choosing where to route orders, high-volume venues are not necessarily the ones setting the price.

## FAQ

### What is information share in market microstructure research?

Information share is the percentage of a security's price discovery attributable to one market, and Hasbrouck (1995) found a median NYSE share of 92.7 percent. He applied the measure to NYSE and regional exchange quotes for thirty Dow stocks. The measure is based on the variance of the random-walk component common to all markets' prices.

### Where does most price discovery for NYSE-listed stocks occur?

The NYSE captures a median 92.7 percent information share for NYSE-listed stocks that also trade on regional exchanges. Hasbrouck (1995) found this across thirty Dow stocks from August through October 1993. That is well above the NYSE's median 85.3 percent share of trading volume in the same sample.

### How is a market's information share calculated?

Hasbrouck (1995) computes each market's information share, such as the NYSE's 92.7 percent median, using a Cholesky factorization of the price-innovation covariance matrix. The factorization orthogonalizes price innovations across NYSE and non-NYSE quotes sampled once per second. The method attributes each market's contribution to the variance of the common efficient price.

### What does the study say about markets with the widest bid-ask spreads?

A market can have a 100 percent information share even while quoting the widest bid-ask spreads. Hasbrouck (1995) notes that such a market can still show the slowest quote adjustment among the markets it trades in. Spreads are generally assumed to depend on the information content of incoming trades.

## Source

Hasbrouck, J. (1995). One Security, Many Markets: Determining the Contributions to Price Discovery. Journal of Finance, 50(4), 1175–1199.

[Read the full paper →](https://doi.org/10.1111/j.1540-6261.1995.tb04054.x)