Cubes to quads: The move of QQQ from AMEX to NASDAQ

We examine the microstructure effects of the QQQ ETF listing change from AMEX to NASDAQ. We find that even though the stock traded on both venues before and after the listing change, NASDAQ reaped a substantial increase in order flow for QQQ at the expense of the AMEX. The change results in a decline in trading costs, consolidation of order flow, and a less fragmented market for QQQ. We hypothesize that the avoidance of the explicit and implicit costs imposed by the Intermarket Trading System for NASDAQ traders was partly responsible for the improvement in QQQ market quality.