A major role of asset markets is to aggregate information from many different sources into a single price. Yet, those responsible for incorporating information into price may prefer one market to another, thus making one market relatively more efficient in the price discovery process. Also, when more than one market trades an equivalent asset or these markets trade on equivalent information, informed and uninformed traders may prefer one market to the next. The preferred market that attracts the greatest proportion of informed to uninformed traders is likely to be the market that dominates contributing mutually shared price discovery. This chapter examines price discovery in international and emerging asset markets by reviewing the existing literature and drawing unifying conclusions on what makes a market better in facilitating price discovery.