A Comparison of Liquidity between Electronic Open Limit Order Book and Specialist Market Structures: Evidence from Cross-Listed Securities on the Australian and New York Stock Exchanges

Posted: 10 Oct 1998

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Michael S. McCorry

affiliation not provided to SSRN

Abstract

This study compares the costs of trading on the New York Stock Exchange, a competitive specialist market, with the Australian Stock Exchange which operates an electronic open limit order book. The results suggest that the electronic open limit order book provides lower execution costs after controlling for stock price, trade size, trading activity and price volatility. The evidence presented also suggests that this difference in execution costs increases with trading activity, and decreases as price volatility and the size of trades increases. Further analysis on a stock by stock basis implies that while the higher execution costs on the NYSE are a pervasive phenomenon occurring on average across all securities, the other relationships vary across securities.

JEL Classification: G10, G15

Suggested Citation

Frino, Alex and McCorry, Michael S., A Comparison of Liquidity between Electronic Open Limit Order Book and Specialist Market Structures: Evidence from Cross-Listed Securities on the Australian and New York Stock Exchanges. Available at SSRN: https://ssrn.com/abstract=6484

Alex Frino

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Michael S. McCorry (Contact Author)

affiliation not provided to SSRN

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