Order Preferencing and Market Quality on U.S. Equity Exchanges
利用独特数据集，比较了美国股票交易所中市场订单和限价订单在不同交易场所的执行成本与成交率，发现主交易所对市场订单成本最低，而偏好交易所并不比非偏好区域交易所差。
We present a detailed view of market quality in the presence of preferencing arrangements. A unique dataset provides the opportunity to measure trading costs of marketable orders and fill rates and ex post costs of limit orders across trading venues. For market orders, we find the primary exchange provides the lowest execution costs. However, the preferencing exchanges are no worse than, and in most cases better than, the nonpreferencing regional exchanges. For limit orders, the regionals execute limit orders more frequently than the primary market and with an ex post execution cost that is not very different from the primary market. Copyright 2003, Oxford University Press.