Market Design And Execution Cost For Matched Securities Worldwide

The authors employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses an extraordinarily wide variety of thirteen market design features, and they investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth liquidity deciles. Their findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) reduce effective spreads.