Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades

Michele LaPlante, Chris J. Muscarella

Research output: Contribution to journalArticlepeer-review

35 Scopus citations

Abstract

The trading structure differences between the NYSE and the Nasdaq market could produce different levels of trading liquidity. Several studies have attempted to measure these differences by comparing bid-ask spreads. This paper uses an alternative approach to compare liquidity. We analyze three issues: (1) the frequencies of the sizes and types of block trades found in the two markets, (2) the immediate price effects of the block transactions, and (3) the temporary and permanent price effects of the blocks. We find evidence that the NYSE system provides more liquidity for block transactions.

Original languageEnglish (US)
Pages (from-to)97-134
Number of pages38
JournalJournal of Financial Economics
Volume45
Issue number1
DOIs
StatePublished - Jul 1997

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management

Fingerprint

Dive into the research topics of 'Do institutions receive comparable execution in the NYSE and Nasdaq markets? A transaction study of block trades'. Together they form a unique fingerprint.

Cite this