Trading Mechanisms and the Components of the Bid‐Ask Spread
比较了纽交所/美交所与纳斯达克股票买卖价差各成分的相对大小，发现交易所系统的订单处理成本更小、逆向选择成本更大，对研究市场微观结构的学者有参考价值。
ABSTRACT We compare the relative magnitudes of the components of the bid‐ask spread for New York Stock Exchange (NYSE)/American Stock Exchange (AMEX) stocks to those of National Association of Securities Dealers Automated Quotations (NASDAQ)/National Market System (NMS) stocks. We find that the order‐processing cost component is smaller, and the adverse selection component is greater on the NYSE/AMEX trading systems than on the NASDAQ/NMS system. The inventory holding component is also greater for exchange‐traded stocks than for NASDAQ/NMS stocks, but this may be attributable to differences in the characteristics of the firms whose stocks trade on the respective systems.