Table V-21

Average Ex-PostTransaction Costs for Limit Orders Entered on Each Exchange

Table V-21: Average Ex-PostTransaction Costs for Limit Orders Entered
on Each Exchange
Cents per Share
Limit Order TypeNYSEBSEBSECHXCSEPHLXPSE
CSI StocksNon-CSI Stocks
Marketable
1/8 Spread-9.6-11.1-12.2-12.5-11.8-12.2-12.4
1/4 Spread-14.0-18.7-17.6-21.1-13.4-18.5-18.3
Quote Improving
1/8 Spread--------------
1/4 Spread-8.9-10.7-10.8-10.7-8.4-10.0-10.2
At-the Quote
1/8 Spread-7.0-4.6-6.8-5.8-5.5-4.7-3.3
1/4 Spread-8.9-8.2-9.0-8.3-6.9-8.2-8.9
The ex-post transaction cost measure compares the execution price to the same-sided quote five
minutes after the execution took place. For example, to compute the cost of a limit order to buy,
the limit price is subtracted from the quoted bid price five minutes later. The more negative the
measure the more severe is the adverse selection cost faced by traders.

Last modified: 1/24/2001