淡江大學機構典藏:Item 987654321/23685
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    题名: Nasdaq and The Chicago Stock Exchange: An Analysis of Multiple Market Trading
    作者: Van Ness, Bonnie F.;Van Ness, Robert A.;謝文良;Hsieh, Wen-liang
    贡献者: 淡江大學財務金融學系
    关键词: spreads;Nasdaq;Chicago Stock Exchange
    日期: 1999-11-01
    上传时间: 2009-11-30 17:49:21 (UTC+8)
    出版者: Eastern Finance Association
    摘要: 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.
    關聯: financial review 34(4), pp.145-157
    DOI: 10.1111/j.1540-6288.1999.tb00473.x
    显示于类别:[財務金融學系暨研究所] 期刊論文

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