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Decimalization and market liquidity

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Author Info
Craig H. Furbine
Abstract

This study examines the stocks of 1, 339 companies that began decimal trading on the NYSE on January 29, 2001. Using the price impact of a trade as a measure of liquidity, the author finds that decimalization typically led to an improvement in liquidity.

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File URL: http://www.chicagofed.org/publications/economicperspectives/2003/4qeppart1.pdf
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Publisher Info
Article provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.

Volume (Year): (2003)
Issue (Month): Q IV ()
Pages: 2-12
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:fip:fedhep:y:2003:i:qiv:p:2-12:n:v.27no.4

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Related research
Keywords: Liquidity (Economics) ; Stock market ; Stocks;

References listed on IDEAS
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  1. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March. [Downloadable!] (restricted)
  2. Chakravarty, Sugato & Wood, Robert A. & Harris, Stephen P., 2002. "Decimal Trading and Market Impact," Purdue University Economics Working Papers 1154, Purdue University, Department of Economics.
  3. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(1), pages 103-50.
  4. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June. [Downloadable!] (restricted)
  5. Bessembinder, Hendrik, 2003. "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(04), pages 747-777, December. [Downloadable!]
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This page was last updated on 2009-12-31.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.