The degree of price resolution and equity trading costs

• 成果类型: Article
• 署名作者: Bessembinder, H
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00011-1
• 发表日期: 1997
• 页码: 9-34
• 关键词: trading costs; quote rounding; Nasdaq market

摘要

This paper investigates relations between trade execution costs and price-rounding practices for NYSE-and Nasdaq-listed firms. Execution costs on each exchange vary positively with the proportion of transaction prices and quotations rounded to even-eighths of a dollar, both cross-sectionally and intertemporally. After allowing for variation in market-making costs attributable to the private information content of trades, there is a strong positive relation between execution costs and price-rounding frequencies for Nasdaq issues but not for NYSE issues. These findings are consistent with the assertion that price-rounding conventions effectively increase trade execution costs on Nasdaq.