Do institutions receive comparable execution in the NYSE and Nasdaq markets?

Article Abstract:

An alternative method is applied to analyze data from the New York Stock Exchange (NYSE) and the Nasdaq market during 1990 to assess the effect of trading structure on liquidity. A three-fold method is applied which analyzes the occurrence of the sizes and types of block transactions, the preceding price effects of such transactions, and the transient and lasting effects of the block trades. Results reveal that NYSE system performs block transactions more efficiently than the Nasdaq system.

Liquidity (Finance), Block trading

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

Article Abstract:

The execution costs for the New York Stock Exchange (NYSE) and the National Assn. of Securities Dealers Automated Quotations (NASDAQ) System are compared using a paired sample of 175 stocks. The quoted spread, the realized spread, the effective spread, the Roll implied spread and the post-trade variability are used to measure these costs. Execution costs for NASDAQ stocks are found to be much higher than those for NYSE stocks. Explanations for the wide gap are offered.

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The degree of price resolution and equity trading costs

Article Abstract:

The notion that Nasdaq securities traders employ rounding of quotations as a means of colluding prices is examined through empirical testing. Higher execution costs in both the Nasdaq and the New York Stock Exchange (NYSE) are related to the rounding of quotations and trade prices to even-eights of a dollar. The quoted and effective bid-ask spreads affected by trade prices or quotations are shown to hold true for both the Nasdaq and the NYSE in the cross-section.

Price fixing

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