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A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization

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  • Christine Jiang
  • Jang-Chul Kim
  • Robert Wood

Abstract

We compare volatility and transaction costs for National Association of Securities Dealers Automated Quotations (NASDAQ) and New York Stock Exchange (NYSE) firms after decimalization. Using the data of May 2001, our study includes several large samples are matched based on key determinants of volatility and transaction costs. Our findings suggest that volatility on NASDAQ is much higher than on NYSE even after the recent market reforms and decimalization. Transaction costs measured by quoted and effective spreads remain significantly higher on NASDAQ than on NYSE, and these differences cannot be attributed to the differences in the characteristics of the stocks traded in the two markets. In addition, the frequency of small (large) trades inside the quotes is significantly greater (lower) on NYSE than on NASDAQ.

Suggested Citation

  • Christine Jiang & Jang-Chul Kim & Robert Wood, 2011. "A comparison of volatility and bid-ask spread for NASDAQ and NYSE after decimalization," Applied Economics, Taylor & Francis Journals, vol. 43(10), pages 1227-1239.
    • Handle: RePEc:taf:applec:v:43:y:2011:i:10:p:1227-1239
    DOI: 10.1080/00036840802600376
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    3. Loginov, Alexander & Heywood, Malcolm, 2020. "On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

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