Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization

@article{Chung2003TradingCA,
  title={Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization},
  author={K. Chung and Bonnie F. Van Ness and Robert A. Van Ness},
  journal={Journal of Financial Research},
  year={2003},
  volume={27},
  pages={309-328}
}
We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks, and the difference is greater for smaller stocks. In contrast, the mean NASDAQ spread is narrower than the mean NYSE spread when spreads are volume weighted, and the difference is statistically… Expand
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