We compare average trade execution costs during 1994 for sets of large, medium, and small capitalization stocks listed on the New York and Nasdaq stock markets. All measures of execution costs examined, including quoted bid-ask spreads, effective spreads (which allow for executions within the...

We examine execution costs for trades in NYSE issues completed at the NYSE, the NASD stock market, and the regional stock exchanges during 1994. We find that while effective bid-ask spreads are only slightly smaller at the NYSE, realized bid-ask spreads, which measure market-making revenue net...