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

Bonnie F Van Ness, Robert A Van Ness and Wen-Liang Hsieh

The Financial Review, 1999, vol. 34, issue 4, 145-57

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 improvements 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. Copyright 1999 by MIT Press.

Date: 1999
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