Investments, tenth edition

 Figure 3.6 

The effective spread (measured in dollars per share) fell dramatically as the minimum tick 

size fell (value-weighted average of NYSE-listed shares) 

 Source: Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam, “Liquidity and Market Efficiency,”  Journal of Financial Economics  

87 (2008), 249–268. Copyright © February 2008, with permission from Elsevier. 

    3.4 

U.S. Markets 

  The NYSE and the NASDAQ Stock Market remain the two largest U.S. stock markets. But 

electronic communication networks have steadily increased their market share.  Figure 3.7  

shows the comparative trading volume of NYSE-listed shares on the NYSE and NASDAQ 

as well as on the major ECNs, namely, BATS, NYSE Arca, and Direct Edge. The “Other” 

category, which recently has risen above 30%, includes so-called dark pools, which we 

will discuss shortly.   

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6/18/13   7:44 PM

6/18/13   7:44 PM

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70  P A R T  

I

 Introduction