Trade execution costs on NASDAQ and the NYSE: A post-reform comparison

Journal of Financial and Quantitative Analysis

Volumn 34, Issue 3, 1999, Pages 387-407

  Bessembinder, Hendrik ^a  

^a EMORY UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033432162     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676265     Document Type: Article

References (35)

1. Barclay, M. "Bid-Ask Spreads and the Avoidance of Odd-Eighth Quotes on Nasdaq: An Examination of Exchange Listings." Journal of Financial Economics, 45 (1997), 35-58.
2. Barclay, M.; W. Christie; J. Harris; E. Kandel; and P. Schultz. "The Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks." Journal of Finance, 54 (1999), 1-34.
3. Bessembinder, H. "Trading Costs and Return Volatility: Evidence from Exchange Listings." New York Stock Exchange Working Paper #98-02 (1998).
4. _. "The Degree of Price Resolution and Equity Trading Costs." Journal of Financial Economics, 45 (1997), 9-34.
5. Bessembinder, H., and H. Kaufman. "A Comparison of Trade Execution Costs for NYSE and Nasdaq-Listed Stocks." Journal of Financial and Quantitative Analysis, 32 (1997), 287-310.
6. Bloomfield, R., and M. O'Hara. "Does Order Preferencing Matter?" Journal of Financial Economics, 50 (1998), 3-38.
7. Blume, M., and M. Goldstein. "Quotes, Order Flow, and Price Discovery." Journal of Finance, 52 (1997), 221-244.
8. Christie, W., and R. Huang. "Market Structure and Liquidity: A Transactions Data Study of Exchange Listings." Journal of Financial Intermediation, 3 (1994), 300-326.
9. Christie, W., and P. Schultz. "Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?" Journal of Finance, 49 (1994), 1813-1840.
10. Dutta, P., and A. Madhavan. "Competition and Collusion in Dealer Markets." Journal of Finance, 52 (1997), 245-276.
11. Easley, D.; N. Kiefer; and M. O'Hara. "Cream Skimming or Profit Sharing? The Curious Role of Purchased Order Flow." Journal of Finance, 51 (1996), 811-834.
12. Glosten, L., and P. Milgrom. "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics, 13 (1985), 71-100.
13. Godek, P. "Why Nasdaq Market Makers Avoid Odd Eighth Quotes." Journal of Financial Economics, 41 (1996), 465-474.
14. Goldstein, M., and K. Kavajecz. "Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE." Working Paper, The Wharton School (1998).
15. Harris, L. "Stock Price Clustering and Discreteness." Review of Financial Studies, 4 (1991), 389-415.
16. _. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes." Review of Financial Studies, 7 (1994), 149-178.
17. Huang, R., and H. Stoll. "Dealer Versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE." Journal of Financial Economics, 41 (1996), 313-358.
18. Jones, C., and M. Lipson. "Sixteenths: Direct Evidence on Institutional Trading Costs." Working Paper, Univ. of Georgia (1998).
19. Kandel, E., and L. Marx. "Payments for Order Flow on NASDAQ." Journal of Finance, 54 (1998), 35-67.
20. Krigman, L. "The Impact of Trading Protocol on Liquidity, Volatility, and Execution Cost: Detecting 'Illusory' Volume." Working Paper, Univ. of Arizona (1996).
21. LaPlante, M., and C. Muscarella. "Do Institutions Receive Comparable Executions in the NYSE and Nasdaq Markets? A Transactions Study of Block Trades." Journal of Financial Economics, 45 (1997), 97-134.
22. Lee, C. "Market Integration and Price Execution for NYSE-Listed Securities." Journal of Finance, 48 (1993), 1009-1038.
23. Lee, C., and M. Ready. "Inferring Trade Direction from Intraday Data." Journal of Finance, 46 (1991), 733-746.
24. National Association of Securities Dealers. "Inducement for Order Flow." A report to the Board of Governors, NASD, Washington, DC (1991).
25. _. "The Effects of Order-Handling Rules and Sixteenths on Nasdaq." Working Paper, NASD, Washington DC (1998). Paper is available at web site www.academic.nasd.com.
26. Petersen, M., and D. Fialkowski. "Posted versus Effective Spreads." Journal of Financial Economics, 35 (1994), 269-292.
27. Ready, M. "The Specialist's Discretion: Stopped Orders and Price Improvement." Working Paper, Univ. of Wisconsin (1997).
28. Ricker, P. "Breaking the Eighth: Sixteenths on the New York Stock Exchange." Working Paper, 1730 Filbert Street, #105, San Francisco, CA (1988).
29. Schultz, P. "Regulatory and Legal Pressures and the Costs of Nasdaq Trading." Working Paper, Univ. of Notre Dame (1997).
30. Simaan, Y.; D. Weaver; and D. Whitcomb. "The Quotation Behavior of ECNs and Nasdaq Market Makers." Working Paper, Baruch College, City Univ. of New York (1998).
31. Smith, J.; J. Selway; L. Reilly; and T. McCormick. "NASD Data Relating to the Nasdaq Stock Market, Inc. and its Listed Companies." Working Paper 97-01, NASD, Washington, DC (1997).
32. United States Department of Justice Antitrust Division. "Competitive Impact Statement." In United States of America v. Alex Brown and Sons, Inc., et al. Washington, DC (1996).
33. United States Securities and Exchange Commission. Report Pursuant to Section 21(a) of the Securities Exchange Act of 1934 Regarding the NASD and the Nasdaq Stock Market. Washington, DC: U.S. Government Printing Office (1996).
34. Van Ness, R.; T. McInish; and B. Van Ness. "The Effect of the SEC's Order Handling Rules on NASDAQ." Journal of Financial Research, 21 (1998), 247-256.
35. Weston, J. "Competition on the NASDAQ and the Impact of Recent Market Reforms." Working Paper, Department of Economics, Univ. of Virginia (1998).