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| Author: | Lau, S. |
| Title: | Trading of NASDAQ stocks on the Chicago stock exchange |
| Journal: | Journal of Financial Research
1996 : WINTER, VOL. 19:4, p. 579-584 |
| Index terms: | FINANCE RESEARCH STOCK EXCHANGES |
| Language: | eng |
| Abstract: | The authors 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 and NASDAQ. The authors 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 |
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