Historically, reported trading volume has been overstated for NASDAQ stocks
relative to NYSE stocks. Because NASDAQ volume may be overcounted, many
researchers use an adjustment factor to make it comparable to NYSE volumes.
Today, electronic communication networks account for about 75 percent of the
trading volume for NASDAQ stocks. Many believe that the increased level of
trading on ECNs and changes to the order-handling rules have lessened the
discrepancy between the exchanges. To investigate, this study examined the
relationship between reported trading volume to shares outstanding for a matched
sample of NYSE and NASDAQ companies. The evidence indicates that the discrepancy
has not diminished but widened.