Nasdaq and The Chicago Stock Exchange: An Analysis of Multiple Market Trading

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Title:	Nasdaq and The Chicago Stock Exchange: An Analysis of Multiple Market Trading
Authors:	Van Ness, Bonnie F.;Van Ness, Robert A.;謝文良;Hsieh, Wen-liang
Contributors:	淡江大學財務金融學系
Keywords:	spreads;Nasdaq;Chicago Stock Exchange
Date:	1999-11-01
Issue Date:	2009-11-30 17:49:21 (UTC+8)
Publisher:	Eastern Finance Association
Abstract:	We analyze a set of 97 NASD-listed securities that trade on both the Nasdaq and Chicago Stock Exchange (CHX) to determine if trading costs and price improvement differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective half-spread, are significantly lower on the CHX. This difference is consistent over trade types and for trades of at least 1,000 shares. Also, we find that trades occurring on the CHX receive more price improvement than do those occurring on Nasdaq.
Relation:	financial review 34(4), pp.145-157
DOI:	10.1111/j.1540-6288.1999.tb00473.x
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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