Ness, Bonnie F Van; Ness, Robert A Van; Hsieh, Wen-Liang - In: The Financial Review 34 (1999) 4, pp. 145-57
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 improvements differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective...