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Market Structure And Trading Volume

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  • Anne‐Marie Anderson
  • Edward A. Dyl

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.

Suggested Citation

  • Anne‐Marie Anderson & Edward A. Dyl, 2005. "Market Structure And Trading Volume," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(1), pages 115-131, March.
  • Handle: RePEc:bla:jfnres:v:28:y:2005:i:1:p:115-131
    DOI: 10.1111/j.1475-6803.2005.00117.x
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    File URL: https://doi.org/10.1111/j.1475-6803.2005.00117.x
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