DO INSTITUTIONS RECEIVE COMPARABLE EXECUTION IN THE NYSE AND NASDAQ MARKETS - A TRANSACTION STUDY OF BLOCK TRADES

The trading structure differences between the NYSE and the Nasdaq mark et could produce different levels of trading liquidity. Several studie s have attempted to measure these differences by comparing bid-ask spr eads. This paper uses an alternative approach to compare liquidity. We analyze three issues: (1) the frequencies of the sizes and types of b lock trades found in the two markets, (2) the immediate price effects of the block transactions, and (3) the temporary and permanent price e ffects of the blocks. We find evidence that the NYSE system provides m ore liquidity for block transactions.