Nasdaq and the chicago stock exchange: An analysis of multiple market trading

Bonnie F. Van Ness*, Robert A. Van Ness, Wen-liang Hsieh

*Corresponding author for this work

Research output: Contribution to journalArticle

2 Scopus citations

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.

Original languageEnglish
Pages (from-to)145-157
Number of pages13
JournalFinancial Review
Volume34
Issue number4
DOIs
StatePublished - 1 Jan 1999

Keywords

  • Chicago stock exchange
  • Nasdaq
  • Spreads

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