Trading costs and volatility for technology stocks

Hendrik Bessembinder, Herbert M. Kaufman

Research output: Contribution to journalArticle

3 Citations (Scopus)

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 Nasdaq. We report that for the full sample and two-year period of our 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 Nasdaq. We also document that Nasdaq executes a substantially larger fraction of trades outside the quotations. Finally, we found returns on Nasdaq technology stocks to be more volatile than returns on NYSE technology stocks; the median standard deviation of daily returns was 51 percent larger for Nasdaq-traded companies.

Original languageEnglish (US)
Pages (from-to)64-71
Number of pages8
JournalFinancial Analysts Journal
Volume54
Issue number5
StatePublished - Sep 1998

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Trading costs
Nasdaq
New York Stock Exchange
Bid
Median
Market quality
Standard deviation
Execution costs

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Trading costs and volatility for technology stocks. / Bessembinder, Hendrik; Kaufman, Herbert M.

In: Financial Analysts Journal, Vol. 54, No. 5, 09.1998, p. 64-71.

Research output: Contribution to journalArticle

Bessembinder, Hendrik ; Kaufman, Herbert M. / Trading costs and volatility for technology stocks. In: Financial Analysts Journal. 1998 ; Vol. 54, No. 5. pp. 64-71.
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