  We consider shared listings on two South African equity exchanges: the
Johannesburg Stock Exchange (JSE) and the A2X Exchange. A2X is an alternative
exchange that provides for both shared listings and new listings within the
financial market ecosystem of South Africa. From a science perspective it
provides the opportunity to compare markets trading similar shares, in a
similar regulatory and economic environment, but with vastly different
liquidity, costs and business models. A2X currently has competitive settlement
and transaction pricing when compared to the JSE, but the JSE has deeper
liquidity. In pursuit of an empirical understanding of how these differences
relate to their respective price response dynamics, we compare the
distributions and auto-correlations of returns on different time scales; we
compare price impact and master curves; and we compare the cost of trading on
each exchange. This allows us to empirically compare the two markets. We find
that various stylised facts become similar as the measurement or sampling time
scale increase. However, the same securities can have vastly different price
responses irrespective of time scales. This is not surprising given the
different liquidity and order-book resilience. Here we demonstrate that direct
costs dominate the cost of trading, and the importance of competitively
positioning cost ceilings. Universality is crucial for being able to
meaningfully compare cross-exchange price responses, but in the case of A2X, it
has yet to emerge in a meaningful way due to the infancy of the exchange --
making meaningful comparisons difficult.
