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An Analysis of Reported Pre- and Post-Switch Trading Volumes: NASDAQ Versus the NYSE

This paper reports the results of an analysis of the reported pre- and post-switch weekly volumes of 216 stocks that switched from the NASDAQ to the NYSE from 1988 through 1993. The analysis reveals that the mean post-switch reported volume is on the order of 70% of the pre-switch volume, and that the median post-switch reported volume is on the order of 57% of the pre-switch volume. These declines in reported volume would appear to be due to the greater proportion of inter-dealer trading that takes place for NASDAQ traded shares as compared to NYSE traded shares. These results have two types of applications: 1) Valid comparisons of reported volumes can be made for stocks on the two exchanges, and 2) The fraction of reported NASDAQ volume attributable to investor-to-investor trading can be calculated. The fraction of reported NYSE voume attributable to investor-to investor trading is about 90%. Therefore, the fraction of reported NASDAQ volume attributable to investor-to-investor trades is about 63% = 70% * 90% if the mean post-switch volume is used, and about 51% = 57% * 90% if the median is used. Both fractiions are highly relevant in determining damages in stockholder litigations.