Journal of Financial Intermediation Vol. 3 No. 3 1994
Market Structures and Liquidity: A Transactions Data Study of Exchange Listings
Abstract
This paper examines the change in trading costs for firms that choose to move from a dealer market to a specialist system. Using transactions data, our empirical results reveal structurally induced average trading cost reductions of 4.7 (5.2) cents per share for firms that moved from the NASDAQ/NMS to the NYSE (AMEX) in 1990. For NYSE listed stocks, the trading cost reductions are equally divided between quote improvements and the routing of trades to the NYSE. Trading cost improvements vary inversely with trade sizes and positively with dollar spreads. Finally, the greatest liquidity benefits from listing accrue to the less liquid stocks. Journal of Economic Literature Classification Numbers: D40, G12, G20.
- DOI
- 10.1006/jfin.1994.1008
- Volume
- 3
- Issue
- 3
- Pages
- 300-326
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref