In the best possible marketplace, all buyers see the prices asked by all sellers and all sellers see the prices offered by all buyers — and little guys are treated the same as big ones. The result: competition that insures the most efficient interplay of supply and demand.

In theory, it sounds great. And indeed, this is the idea behind the Security and Exchange Commission’s push for an integrated stock market called the National Market System, or NMS. It is meant to assure that every trader gets the best price available at any moment on any exchange in the country.

But could those best intentions backfire? In a new paper, Wharton finance professor Marshall E. Blume warns that they could.…