Post-Reform Market-Order Execution Quality: Multidimensional Comparisons Across Market Centers


  • We thank two anonymous referees for suggestions that have clearly improved the paper. Earlier versions of this paper were entitled The Quality of Trade Execution on Regional Exchanges and were produced for presentation at the Chicago Stock Exchange on May 20, 1997, and for the Conference on the Search for the Best Price sponsored by the New York Stock Exchange on March 15, 1996. All views expressed in the paper are those of the authors.

* Corresponding author: Department of Finance, University of Cincinnati, PO Box 210195, Cincinnati, OH 45221-0195; Phone: (513) 556-7076; Fax: (513) 556-4891; Email:


We use market-order data to determine execution quality on the NYSE, four regional stock exchanges, and the Nasdaq InterMarket. We examine a sample period after the reduction in the minimum price variation and after the SEC imposed new order-handling rules, and analyze dimensions of execution quality in addition to trade prices. We find that in the postreform environment, the NYSE offers execution prices that are more favorable to the investor. However, the regional exchanges and the InterMarket offer executions that are faster and that more frequently allow investors to execute orders with sizes exceeding the quoted depth at the quoted price.