search query: @author Kaufman, H. M. / total: 2
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| Author: | Bessembinder, H. Kaufman, H. M. |
| Title: | Trading costs and volatility for technology stocks |
| Journal: | Financial Analysts' Journal
1998 : SEP/OCT, VOL. 54:5, p. 64-71 |
| Index terms: | Securities Technology Stock markets Volatility Companies USA |
| Freeterms: | Comparative analysis |
| Language: | eng |
| Abstract: | Evidence on trade-execution costs and market quality for heavily traded technology stocks indicates that trading costs for these stocks are substantially lower on the NYSE than on the Nasdaq. It is reported that for the full sample and 2-year period of the test, quoted percentage bid-ask half-spreads were 11.8 basis points wider and effective bid-ask half-spreads were 11.3 basis points wider on the Nasdaq. It is also documented that Nasdaq executes a substantially larger fraction of trades outside the quotations. Finally, returns on Nasdaq technology stocks were found to be more volatile than returns on NYSE technology stocks, that is, the median standard deviation of daily returns was 51 % larger for Nasdaq-traded companies. |
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