The degree of price resolution and equity trading costs

被引:34
作者
Bessembinder, H
机构
[1] Department of Finance, Arizona State University, Tempe
关键词
trading costs; quote rounding; Nasdaq market;
D O I
10.1016/S0304-405X(97)00011-1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper investigates relations between trade execution costs and price-rounding practices for NYSE-and Nasdaq-listed firms. Execution costs on each exchange vary positively with the proportion of transaction prices and quotations rounded to even-eighths of a dollar, both cross-sectionally and intertemporally. After allowing for variation in market-making costs attributable to the private information content of trades, there is a strong positive relation between execution costs and price-rounding frequencies for Nasdaq issues but not for NYSE issues. These findings are consistent with the assertion that price-rounding conventions effectively increase trade execution costs on Nasdaq.
引用
收藏
页码:9 / 34
页数:26
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