 A comparison of transaction costs on Xetra and on NasdaqOtto Loistl, Bernd Schossmann, Olaf Vetter and Alexander Veverka Quantitative Finance, 2002, vol. 2, issue 3, 199-216 Abstract: In today's financial world, providing high quality of order execution at low transaction costs is vitally important to the competitiveness of trading platforms; thus the stock market's microstructure has become a subject of fierce debate and models for computing transaction costs have been needed for quite a while. Capital market synergetics is appropriate to investigate the market microstructure's effectiveness and is implemented in the computer program KapSyn. In this paper we compare transaction costs for small, medium-size and block-size orders on each exchange, examining different market scenarios. By investigating the peculiarities of Xetra and of Nasdaq we point out their comparative advantages: calculation results clearly show the high operating efficiency of Nasdaq's small-order execution system and Xetra's favourable execution of medium-size and block-size orders. Investors' trading decisions may benefit from taking these results into account. For policy makers and academics these findings contribute to the debate about the optimal design of a market microstructure by highlighting the areas of high performance. Date: 2002 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:2:y:2002:i:3:p:199-216 Ordering information: This journal article can be ordered from DOI: 10.1088/1469-7688/2/3/303 Access Statistics for this article Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral More articles in Quantitative Finance from Taylor & Francis Journals |
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