Differences in Execution Prices Among the NYSE, the Regionals, and the NASD

Rodney L. White Center for Financial Research Paper No. 4-92

29 Pages Posted: 9 Apr 2007

See all articles by Marshall E. Blume

Marshall E. Blume

University of Pennsylvania - Finance Department

Michael A. Goldstein

Babson College - Finance Division

Date Written: September 1991

Abstract

The purpose of this paper is to compare execution prices of NYSE-listed stocks on the NYSE and on non-NYSE markets. The first conclusion of this comparison is that most of the time the NYSE had the best quote. This result does not necessarily imply that execution prices on the NYSE are better than the regionals since an investor should always receive an execution price no worse that the best intermarket quote regardless of the particular market on which an order is executed. The second conclusion is that there is more price improvement on the NYSE than on other markets for NYSE-listed stocks. The third conclusion is that the average price improvement from trading on the NYSE varies according to the price of the stock and the size of the transaction. On a 100-share transaction of a 40-dollar stock, the price improvement on the NYSE is on average 1.5 cents greater than that on non-NYSE markets.

Keywords: market microstructure, price improvement, NYSE, intermarket competition

JEL Classification: G10, G18, G19, G28

Suggested Citation

Blume, Marshall E. and Goldstein, Michael A., Differences in Execution Prices Among the NYSE, the Regionals, and the NASD (September 1991). Available at SSRN: https://ssrn.com/abstract=979072 or http://dx.doi.org/10.2139/ssrn.979072

Marshall E. Blume

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7616 (Phone)
215-573-8084 (Fax)

Michael A. Goldstein (Contact Author)

Babson College - Finance Division ( email )

320 Tomasso Hall
Babson Park, MA 02457-0310
United States
781-239-4402 (Phone)
781-239-5004 (Fax)

HOME PAGE: http://faculty.babson.edu/goldstein/

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