Table V-4Average Quoted Bid-Ask Spreads and Depths by Exchange for Stocks that Trade on Both the NYSE and Regional Exchanges Table V-4: Average Quoted Bid-Ask Spreads and Depths by Exchange for Stocks that Trade on Both | the NYSE and Regional Exchanges | (Quote Updates from Oct. 28 - Nov. 01, 1996) | | | | | | | | | | | | | | | NYSE | CSE | NYSE | BSE | NYSE | CHX | NYSE | PSE | NYSE | PHLX | Average Bid-Ask Spread | | | | | | | | | | | | (Cents per share) | | | | | | | | | | | | Mean | | 16.2 | 27.8 | 18.5 | 45.8 | 19.3 | 49.3 | 18.3 | 44.4 | 18.9 | 55.7 | Median | | 15.8 | 25.7 | 17.5 | 44.8 | 17.1 | 44.6 | 17.4 | 41.9 | 17.5 | 46.4 | | | | | | | | | | | | | Average Time | | | | | | | | | | | | Weighted Spread | | | | | | | | | | | | (Cents per Share) | | | | | | | | | | | | Mean | | 15.4 | 26.1 | 17.8 | 43.2 | 18.6 | 46.4 | 17.6 | 41.6 | 18.2 | 53.8 | Median | | 14.9 | 24.2 | 16.7 | 42.2 | 17.0 | 41.7 | 16.6 | 39.3 | 16.7 | 44.7 | | | | | | | | | | | | | Average Time | | | | | | | | | | | | Weighted Bid Size | | | | | | | | | | | | (Shares) | | | | | | | | | | | | Mean | | 18,461 | 774 | 12,809 | 174 | 12,550 | 386 | 13,492 | 603 | 13,152 | 169 | Median | | 12,321 | 746 | 5,331 | 100 | 4,796 | 154 | 5,343 | 300 | 5,095 | 100 | | | | | | | | | | | | | Average Time | | | | | | | | | | | | Weighted Ask Size | | | | | | | | | | | | (Shares) | | | | | | | | | | | | Mean | | 19,452 | 784 | 12,948 | 177 | 12,429 | 407 | 13,441 | 583 | 13,130 | 178 | Median | | 14,200 | 775 | 6,149 | 100 | 5,289 | 160 | 5,971 | 305 | 5,733 | 100 | | | | | | | | | | | | | Number of Stocks | | 333 | 333 | 1,800 | 1,800 | 2,653 | 2,653 | 2,085 | 2,085 | 2,416 | 2,416 | Includes all NYSE-listed issues that are quoted on a regional exchange, except the CSE comparison which includes | | | | | | | | | | | | only preferenced stocks. | | | | | | | | | | | | | | | | | | | | | | | | Source: SIAC Data | | | | | | | | | | | |
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Last modified: 1/24/2001 |
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