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Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison
Open accessAbstract
Trade execution costs remain larger on Nasdaq as 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 or the greater Nasdaq execution costs. Preferencing agreements are highlighted as a likely reason that Nasdaq trade execution costs remain larger.
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Citations
Cited by
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Lesmond, D. A., Schill, M. J., & Zhou, C. (2004) · Journal of Financial Economics · doi:10.1016/s0304-405x(03)00206-x · Cited by 657
Trade Execution Costs and Market Quality after Decimalization
Bessembinder, H. (2003) · The Journal of Financial and Quantitative Analysis · doi:10.2307/4126742 · Cited by 512
Self-citationDo Portfolio Distortions Reflect Superior Information or Psychological Biases?
Korniotis, G. M., & Kumar, A. (2013) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109012000610 · Cited by 166
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Macey, J. R., & O'Hara, M. (2002) · Journal of Financial Intermediation · doi:10.1006/jfin.2002.0343 · Cited by 80
Metadata
- Authors
- Bessembinder, H.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1999-09
- Volume
- 34
- Issue
- 3
- Pages
- 387
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W3122277513
- Cited by
- 263
- References
- 0
- FWCI
- 19.14
- Type
- journal article
- Language
- en
- Open access
- green
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- Bessembinder, H. (1999). Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2676265
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