Work

Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison

Year: 1999

Type: article

Abstract: 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.

Source: Journal of Financial and Quantitative Analysis

DOI: 10.2307/2676265

Author: Hendrik (Hank) Bessembinder

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3122277513

FWCI: 15.41

Cites: 35

Cited by: 250

Related to: 10