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Institutional Equity Trading Costs: NYSE versus Nasdaq

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Author Info
 Chan, Louis K C
Lakonishok, Josef
Abstract

The authors compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in cost generally conform to each market's area of specialization. Controlling for firm size, trade size, and the money management firm's identity, costs are lower on Nasdaq for trades in comparatively smaller firms, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period. Copyright 1997 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 52 (1997)
Issue (Month): 2 (June)
Pages: 713-35
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Handle: RePEc:bla:jfinan:v:52:y:1997:i:2:p:713-35

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  1. Roger M. Edelen & Jerold B. Warner, . "Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns," Rodney L. White Center for Financial Research Working Papers 26-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  2. Yacine A\"it-Sahalia & Jialin Yu, 2009. "High frequency market microstructure noise estimates and liquidity measures," Quantitative Finance Papers 0906.1444, arXiv.org. [Downloadable!]
  3. Gianluca Marcato & Charles Ward, 2007. "Back from Beyond the Bid-Ask Spread: Estimating Liquidity in International Markets," Real Estate & Planning Working Papers rep-wp2007-07, Henley Business School, Reading University. [Downloadable!]
  4. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, . "Mutual fund trading costs," Rodney L. White Center for Financial Research Working Papers 27-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  5. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Staff Reports (discontinued) 125, Netherlands Central Bank. [Downloadable!]
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  6. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Ian Domowitz & Jack Glen & Ananth Madhavan, 2000. "Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time," William Davidson Institute Working Papers Series 322, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
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  8. John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec, 1999. "Transaction-cost Expenditures and the Relative Performance of Mutual Funds," Center for Financial Institutions Working Papers 00-02, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  9. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department. [Downloadable!]
  10. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Gianluca Marcato & Charles Ward, 2006. "Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity," Real Estate & Planning Working Papers rep-wp2006-15, Henley Business School, Reading University. [Downloadable!]
  12. Jacob Bikker & Laura Spierdijk & Roy Hoevenaars & Pieter Jelle van der Sluis, 2006. "Forecasting Market Impact Costs and Identifying Expensive Trades," DNB Working Papers 095, Netherlands Central Bank, Research Department. [Downloadable!]
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