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Market Structure And Trading Volume

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  • Anne-Marie Anderson
  • Edward A. Dyl
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    Abstract

    Historically, trading volume reported for NASDAQ stocks has been overstated vis-à-vis New York Stock Exchange (NYSE) stocks, both because of the dealer's participation in trades as a market maker and because of interdealer trading. Beginning in 1997, the Securities and Exchange Commission changed order-handling rules and trade-reporting rules, which may have reduced or eliminated the overstatement of NASDAQ trading. We examine trading volumes of firms changing from NASDAQ to the NYSE since 1997 and document that reported trading volume for NASDAQ stocks continues to be overstated. Moreover, the degree of overstatement is much larger for firms with high trading volume. 2005 The Southern Finance Association and the Southwestern Finance Association.

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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 28 (2005)
    Issue (Month): 1 ()
    Pages: 115-131

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    Handle: RePEc:bla:jfnres:v:28:y:2005:i:1:p:115-131

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    Cited by:
    1. Fink, Jason & Fink, Kristin E. & Weston, James P., 2006. "Competition on the Nasdaq and the growth of electronic communication networks," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2537-2559, September.
    2. Kuo, Jing-Ming & Philip, Dennis & Zhang, Qingjing, 2013. "What drives the disappearing dividends phenomenon?," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3499-3514.
    3. Elizabeth Demers & Clara Vega, 2009. "Soft Information in Earnings Announcements: News or Noise?," 2009 Meeting Papers 80, Society for Economic Dynamics.
    4. Asli Ascioglu & Murat Aydogdu & Lynn Phillips Kugele, 2013. "The Impact of Option Listing on the Trading Activity of Turkcell’s American Depository Receipt (ADR)," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 27(1), pages 1-18.
    5. Elizabeth Demers & Clara Vega, 2008. "Soft information in earnings announcements: news or noise?," International Finance Discussion Papers 951, Board of Governors of the Federal Reserve System (U.S.).
    6. Broom, Kevin D. & Van Ness, Robert A. & Warr, Richard S., 2007. "Cubes to quads: The move of QQQ from AMEX to NASDAQ," Journal of Economics and Business, Elsevier, vol. 59(6), pages 520-535.
    7. Kryzanowski, Lawrence & Lazrak, Skander, 2009. "Liquidity minimization and cross-listing choice: Evidence based on Canadian shares cross-listed on U.S. venues," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 550-564, July.

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