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TRADING OF NASDAQ STOCKS ON THE CHICAGO STOCK EXCHANGE
Author(s) -
Lau Sie Ting,
McCorry Michael S.,
McInish Thomas H.,
Van Ness Robert A.
Publication year - 1996
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1996.tb00231.x
Subject(s) - portfolio , stock exchange , stock (firearms) , financial economics , leverage (statistics) , economics , business , monetary economics , econometrics , finance , mathematics , statistics , geography , archaeology
We use a linear programming model to form two portfolios with approximately equal levels of attributes such as financial leverage. One portfolio comprises stocks that trade exclusively on NASDAQ and the other, stocks that trade on both the Chicago Stock Exchange (CSE) and NASDAQ (CSE/NASDAQ). We find that spreads are lower for the CSE/NASDAQ portfolio, but so is the percentage of quotes at spreads of $0.125. In fact, the lower spreads observed for the CSE/NASDAQ portfolio arise from fewer quotes with spreads of more than $0.25.