Market Structures and Liquidity: A Transactions Data Study of Exchange Listings

Posted: 11 May 2000

See all articles by William G. Christie

William G. Christie

Vanderbilt University - Finance; Vanderbilt University - Law School

Roger D. Huang

University of Notre Dame


This paper examines the change in trading costs for firms that choose to move from a dealer market to a specialist system. Using transactions data, our empirical results reveal structurally induced average trading cost reductions of 4.7 (5.2) cents per share for firms that moved from the NASDAQ/NMS to the NYSE (Amex) in 1990. For NYSE listed stocks, the trading costs reductions are equally divided between quote improvements and the routing of trades to the NYSE. Trading costs improvements vary inversely with trade sizes and positively with dollar spreads. Finally, the greatest liquidity benefits from listing accrue to the less liquid stocks.

JEL Classification: D40, G12, G20

Suggested Citation

Christie, Wiliam G. and Huang, Roger D., Market Structures and Liquidity: A Transactions Data Study of Exchange Listings. Available at SSRN:

Wiliam G. Christie

Vanderbilt University - Finance ( email )

401 21st Avenue South
Owen Graduate School of Management
Nashville, TN 37203
United States
615-343-7802 (Phone)
615-343-7177 (Fax)

Vanderbilt University - Law School

131 21st Avenue South
Nashville, TN 37203-1181
United States

Roger D. Huang (Contact Author)

University of Notre Dame ( email )

Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-6370 (Phone)

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