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

Michele LaPlante; Chris J. Muscarella

doi:10.1016/S0304-405X(97)81614-5

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

Michele LaPlante, Chris J. Muscarella

Finance

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	97-134
Number of pages	38
Journal	Journal of Financial Economics
Volume	45
Issue number	1
DOIs	https://doi.org/10.1016/S0304-405X(97)81614-5
State	Published - Jul 1997

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics
Strategy and Management

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10.1016/S0304-405X(97)81614-5

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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.",

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AB - 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.

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

Abstract

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