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The effect of decimalization on the components of the bid-ask spread

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  • Gibson, Scott
  • Singh, Rajdeep
  • Yerramilli, Vijay

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  • Gibson, Scott & Singh, Rajdeep & Yerramilli, Vijay, 2003. "The effect of decimalization on the components of the bid-ask spread," Journal of Financial Intermediation, Elsevier, vol. 12(2), pages 121-148, April.
    • Handle: RePEc:eee:jfinin:v:12:y:2003:i:2:p:121-148
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    1. Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
    2. Bacidore, Jeffrey M., 1997. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 92-120, April.
    3. Stoll, Hans R, 1978. "The Supply of Dealer Services in Securities Markets," Journal of Finance, American Finance Association, vol. 33(4), pages 1133-1151, September.
    4. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    5. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
    6. Huang, Roger D & Stoll, Hans R, 1997. "The Components of the Bid-Ask Spread: A General Approach," The Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 995-1034.
    7. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(1), pages 33-53.
    8. Bessembinder, Hendrik, 2000. "Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars," Journal of Financial Intermediation, Elsevier, vol. 9(3), pages 213-239, July.
    9. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    10. Seha M. Tinic, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(1), pages 79-93.
    11. Tinic, Seha M & West, Richard R, 1974. "Marketability of Common Stocks in Canada and the U.S.A.: A Comparison of Agent versus Dealer Dominated Markets," Journal of Finance, American Finance Association, vol. 29(3), pages 729-746, June.
    12. Branch, Ben & Freed, Walter, 1977. "Bid-Asked Spreads on the Amex and the Big Board," Journal of Finance, American Finance Association, vol. 32(1), pages 159-163, March.
    13. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1991. "Estimation of the Bid-Ask Spread and Its Components: A New Approach," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 623-656.
    14. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    15. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April.
    16. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    17. Cao, Charles & Choe, Hyuk & Hatheway, Frank, 1997. "Does the Specialist Matter? Differential Execution Costs and Intersecurity Subsidization on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 52(4), pages 1615-1640, September.
    18. Ellis, Katrina & Michaely, Roni & O'Hara, Maureen, 2000. "The Accuracy of Trade Classification Rules: Evidence from Nasdaq," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(4), pages 529-551, December.
    19. Ho, Thomas S Y & Stoll, Hans R, 1983. "The Dynamics of Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 38(4), pages 1053-1074, September.
    20. Hans R. Stoll, 2000. "Presidential Address: Friction," Journal of Finance, American Finance Association, vol. 55(4), pages 1479-1514, August.
    21. Clifford A. Ball & Tarun Chordia, 2001. "True Spreads and Equilibrium Prices," Journal of Finance, American Finance Association, vol. 56(5), pages 1801-1835, October.
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    1. Plott, Charles & Roll, Richard & Seo, Han & Zhao, Hao, 2019. "Tick size, price grids and market performance: Stable matches as a model of market dynamics and equilibrium," Games and Economic Behavior, Elsevier, vol. 118(C), pages 7-28.
    2. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    3. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
    4. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
    5. Salomonsson, Marcus, 2009. "Introducing a spread into the Kyle model," SSE/EFI Working Paper Series in Economics and Finance 713, Stockholm School of Economics.
    6. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
    7. Kryzanowski, Lawrence & Lazrak, Skander & Rakita, Ian, 2010. "Behavior of liquidity and returns around Canadian seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2954-2967, December.
    8. Bülent Köksal, 2010. "Differences in individual NYSE specialists' performances and strategies," Review of Financial Economics, John Wiley & Sons, vol. 19(1), pages 8-18, January.
    9. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
    10. Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020. "Effective risk aversion in thin risk‐sharing markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
    11. Wang, Xiaoqiong & Wei, Siqi, 2021. "Does the investment horizon of institutional investors matter for stock liquidity?," International Review of Financial Analysis, Elsevier, vol. 74(C).
    12. Elliott, William B. & Songur, Hilmi, 2016. "The role of arbitrage risk on the elasticity of demand: New evidence from 100% secondary equity offerings," Finance Research Letters, Elsevier, vol. 19(C), pages 165-172.
    13. Bertone, Stephen & Paeglis, Imants & Ravi, Rahul, 2015. "(How) has the market become more efficient?," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 72-86.

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