Nasdaq and the chicago stock exchange: An analysis of multiple market trading

Bonnie F. Van Ness; Robert A. Van Ness; Wen Liang Hsieh

doi:10.1111/j.1540-6288.1999.tb00473.x

Nasdaq and the chicago stock exchange: An analysis of multiple market trading

Bonnie F. Van Ness^*, Robert A. Van Ness, Wen Liang Hsieh

^*此作品的通信作者

資訊管理與財務金融學系

研究成果: Article › 同行評審

2 引文斯高帕斯（Scopus）

摘要

We analyze a set of 97 NASD-listed securities that trade on both the Nasdaq and Chicago Stock Exchange (CHX) to determine if trading costs and price improvement differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective half-spread, are significantly lower on the CHX. This difference is consistent over trade types and for trades of at least 1, 000 shares. Also, we find that trades occurring on the CHX receive more price improvement than do those occurring on Nasdaq.

原文	English
頁（從 - 到）	145-157
頁數	13
期刊	Financial Review
卷	34
發行號	4
DOIs	https://doi.org/10.1111/j.1540-6288.1999.tb00473.x
出版狀態	Published - 11月 1999

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10.1111/j.1540-6288.1999.tb00473.x

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year = "1999",

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AB - We analyze a set of 97 NASD-listed securities that trade on both the Nasdaq and Chicago Stock Exchange (CHX) to determine if trading costs and price improvement differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective half-spread, are significantly lower on the CHX. This difference is consistent over trade types and for trades of at least 1, 000 shares. Also, we find that trades occurring on the CHX receive more price improvement than do those occurring on Nasdaq.

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KW - Spreads

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Nasdaq and the chicago stock exchange: An analysis of multiple market trading

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