Trade execution costs remain larger on NASDAQ compared to the NYSE in the wake of new SEC-mandated order-handling rules and reductions in tick sizes, but the differential across markets is smaller than in earlier years. Cross-sectional regression analysis indicates that the differences in average trade execution costs are not explained by variation in observable economic factors. Quotations on both markets continue to cluster disproportionately on round fractions, and more so on NASDAQ than the NYSE, but quotation rounding appears not to be responsible for the greater NASDAQ execution costs. Preferencing agreements are highlighted as a likely reason that NASDAQ trade execution costs remain larger.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Volume (Year): 34 (1999) Issue (Month): 03 (September) Pages: 387-407 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Contact details of provider: Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK Fax: +44 (0)1223 325150 Email: Web page: http://journals.cambridge.org/jid_JFQ
For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)