Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

• 成果类型: Article
• 署名作者: Huang, RD; Stoll, HR
• 署名单位: Vanderbilt University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00867-E
• 发表日期: 1996
• 页码: 313-357
• 关键词: NASDAQ; NYSE; execution cost; market structure; Bid-ask spreads

摘要

Execution costs, as measured by the quoted spread, the effective spread (which accounts for trades inside the quotes), the realized spread (which measures revenues of suppliers of immediacy), the Roll(1984) implied spread, and the post-trade variability, are twice as large for a sample of NASDAQ stocks as they are for a matched sample of NYSE stocks. The difference is not due to differences in adverse information, in market depth, or in the frequency of even-eighth quotes. Partial explanations are provided by differences in the treatment of limit orders and commissions in the two markets. We conclude that important explanations are the internalization and preferencing of order flow and the presence of alternative interdealer trading systems, factors that limit dealers' incentives to narrow spreads on NASDAQ.