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Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92)

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  • Marshall E. Blume
  • Michael A. Goldstein

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 than 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.

Suggested Citation

  • Marshall E. Blume & Michael A. Goldstein, "undated". "Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92)," Rodney L. White Center for Financial Research Working Papers 4-92, Wharton School Rodney L. White Center for Financial Research.
    • Handle: RePEc:fth:pennfi:4-92
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    Cited by:

    1. Tse, Yiuman, 2000. "Further Examination of Price Discovery on the NYSE and Regional Exchanges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 331-351, Fall.
    2. Battalio, Robert & Greene, Jason & Jennings, Robert, 1998. "Order Flow Distribution, Bid-Ask Spreads, and Liquidity Costs: Merrill Lynch's Decision to Cease Routinely Routing Orders to Regional Stock Exchanges," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 338-358, October.
    3. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
    4. Yiuman Tse, 2000. "Further Examination Of Price Discovery On The Nyse And Regional Exchanges," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 331-351, September.

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