NASDAQ and the NYSE: A Trade Reporting Facility Comparison

32 Pages Posted: 8 May 2019

See all articles by Justin Cox

Justin Cox

Appalachian State University

Date Written: April 9, 2019


In this article, I study the differences in off-exchange trades reported between the NASDAQ and NYSE Trade Reporting Facility (TRF). I examine the differences in market quality and preferencing for trades reported in each TRF and show that trades reported in the NASDAQ TRF have both higher effective and realized spreads as well as a higher preferencing measure. This result is particularly strong in NYSE-listed stocks and in large-cap stocks. I also construct a matched sample of NYSE- and NASDAQ-listed stocks, finding similar results. My findings support regulatory concerns aimed at how the NASDAQ TRF handles and preferences customer orders.

Keywords: Trade Reporting Facility, Off-Exchange Markets, Market Quality, Preferencing

JEL Classification: G10, G12, G14

Suggested Citation

Cox, Justin, NASDAQ and the NYSE: A Trade Reporting Facility Comparison (April 9, 2019). Available at SSRN: or

Justin Cox (Contact Author)

Appalachian State University ( email )

416 Howard Street
Boone, NC North Carolina 28604
United States

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