Market Integration and Price Execution for NYSE‐Listed Securities
研究发现纽交所上市证券在不同交易所的价格执行存在系统性差异，小交易差异更大，质疑现有跨市场报价系统和经纪商最佳执行义务的充分性。
ABSTRACT For New York Stock Exchange (NYSE) listed securities, the price execution of seemingly comparable orders differs systematically by location. In general, executions at the Cincinnati, Midwest, and New York stock exchanges are most favorable to trade initiators, while executions at the National Association of Security Dealers (NASD) are least favorable. These intermarket price differences depend on trade size, with the smallest trades exhibiting the biggest per share price difference. Collectively, these results raise questions about the adequacy of the existing intermarket quote system (ITS), the broker's fiduciary responsibility for “best execution,” and the propriety of order flow inducements.