教師資料查詢 | 類別: 期刊論文 | 教師: 謝文良 HSIEH WEN-LIANG (瀏覽個人網頁)

標題:Nasdaq and The Chicago Stock Exchange: An Analysis of Multiple Market Trading
學年88
學期1
出版(發表)日期1999/11/01
作品名稱Nasdaq and The Chicago Stock Exchange: An Analysis of Multiple Market Trading
作品名稱(其他語言)
著者Van Ness, Bonnie F.; Van Ness, Robert A.; 謝文良; Hsieh, Wen-liang
單位淡江大學財務金融學系
出版者Eastern Finance Association
著錄名稱、卷期、頁數financial review 34(4), pp.145-157
摘要We analyze a set of 97 NASD-listed securities that trade on both the Nasdaq and Chicago Stock Exchange (CHX) to determine if trading costs and price improvement differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective half-spread, are significantly lower on the CHX. This difference is consistent over trade types and for trades of at least 1,000 shares. Also, we find that trades occurring on the CHX receive more price improvement than do those occurring on Nasdaq.
關鍵字spreads;Nasdaq;Chicago Stock Exchange
語言英文
ISSN0732-8516
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,紙本
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