A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks
比较了1994年纽交所和纳斯达克上市的大、中、小盘股的平均交易执行成本，发现纳斯达克股票的所有成本指标均高于纽交所，且差异在中小盘股和小额交易中更显著，不能归因于做市商逆向选择成本差异，也未发现1994年5月事件后纳斯达克成本下降。
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 quotes), and realized spreads (which measure price reversal after trades), are larger for NASDAQ-listed than for NYSE-listed stocks. The differentials in average trading costs across exchanges are greater for medium and small capitalization issues than for large capitalization stocks and are greater for small compared to large trades. These differentials cannot be attributed to cross-exchange differences in the adverse se? lection costs of market-making. Furthermore, we find no evidence that average execution costs on NASDAQ declined after the publicized events of May 1994.