Chung, Kee H.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Financial Research 27 (2004) 3, pp. 309-328
We examine execution costs and quote clustering on the New York Stock Exchange (NYSE) and NASDAQ using 517 matching pairs of stocks after decimalization. We find that the mean spread of NASDAQ stocks is greater than the mean spread of NYSE stocks when spreads are equally weighted across stocks,...