We analyze both short- and long-term effects of multimarket trading by examining the entries of multiple markets in three actively traded Exchange Traded Funds (DIA, QQQ, and SPY). Using a time series analysis, we follow the market evolution of these ETFs with regard to order flow fragmentation,...

Archipelago began reporting trades and quotes to the Pacific Stock Exchange in 2002 for NYSE-listed securities and in 2003 for NASDAQ-listed securities. These events mark the time that Archipelago began migrating stocks from its ECN platform to the exchange platform, thereby becoming a...

We examine execution costs and quote clustering on the NYSE and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks and the difference is...

Nasdaq spreads decline from 1993 to 2002, largely independently of tick size reductions. Trade size declines, consistent with greater retail investor activity. Using the method of Chordia, Roll, and Subrahmanyam (2001), we find that concurrent market returns strongly affect liquidity and trading...

Island is the largest electronic communications network in the US. On March 18th 2002, it began reporting trades to the Cincinnati Stock Exchange (CSE) to reduce costs. We use the information generated following this trade reporting change to analyze differences in trading characteristics and...

We examine the impact of market maker concentration on adverse-selection costs for NASDAQ stocks and find that more market makers results in lower costs. Furthermore, this reduction in adverse-selection exceeds the overall reduction in spreads that is attributable to market maker competition. We...

This study compares the components of the bid-ask spread estimated from quotes that reflect the trading interest of specialists with those estimated from limit-order quotes and all available quotes for a sample of NYSE stocks. The results show that the adverse selection component of the spread...

We examine execution costs and quote clustering on the NYSE and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks and the difference is...

This study shows that limit-order traders play a significant role in the market-making process. We find that the majority of bid-ask quotes on the NYSE reflects the trading interest of limit-order traders. We find that specialists tend to quote more actively for low-volume stocks and during...

In this paper, we determine whether each bid (ask) quote reflects the trading interest of the specialist, limit order traders, or both for a sample of NYSE stocks in 1991. We then compare Nasdaq spreads with NYSE spreads that reflect the trading interest of the specialist. Our empirical results...