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Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars

Citations

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Cited by:

  1. Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
  2. Kee Chung & Jangkoo Kang & Joon-Seok Kim, 2011. "Tick size, market structure, and market quality," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 57-81, January.
  3. Loistl, Otto & Schossmann, Bernd & Veverka, Alexander, 2004. "Tick size and spreads: The case of Nasdaq's decimalization," European Journal of Operational Research, Elsevier, vol. 155(2), pages 317-334, June.
  4. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
  5. Deng, Xiaohu & Jiang, Christine & Young, Danqing, 2017. "Short Selling and Politically Motivated Negative Information Hoarding," Working Papers 2017-14, University of Tasmania, Tasmanian School of Business and Economics.
  6. Sirnes Espen, 2022. "Estimating the Effect of Transaction Costs Using the Tick Size as a Proxy," Review of Economics, De Gruyter, vol. 73(1), pages 57-77, April.
  7. Maruyama, Hiroyuki & Tabata, Tomoaki, 2022. "Timing of tick size reduction: Threshold and smooth transition model analysis," Finance Research Letters, Elsevier, vol. 45(C).
  8. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
  9. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program," Papers 1507.07052, arXiv.org.
  10. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  11. Mahmoodzadeh, Soheil & Gençay, Ramazan, 2017. "Human vs. high-frequency traders, penny jumping, and tick size," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 69-82.
  12. 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.
  13. Ascioglu, Asli & Comerton-Forde, Carole & McInish, Thomas H., 2010. "An examination of minimum tick sizes on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 22(1), pages 40-48, January.
  14. Xinhui Yang & Jie Zhang & Qing Ye, 2020. "Tick size and market quality: Simulations based on agent‐based artificial stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(3), pages 125-141, July.
  15. Michael Fleming & Giang Nguyen & Francisco Ruela, 2024. "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Management Science, INFORMS, vol. 70(1), pages 332-354, January.
  16. Ravi Kashyap, 2016. "A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes," Papers 1602.00839, arXiv.org, revised Jul 2019.
  17. Gil Bazo, Javier & Moreno Muñoz, Jesús David & Tapia, Mikel, 2005. "Price dynamics, informational efficiency and wealth distribution in continuous double auction markets," DEE - Working Papers. Business Economics. WB wb057819, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  18. Griffith, Todd G. & Roseman, Brian S., 2019. "Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 104-121.
  19. Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016. "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 236-257.
  20. Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2008. "Tick size change and liquidity provision for Japanese stock trading near [yen sign]1000," Japan and the World Economy, Elsevier, vol. 20(1), pages 19-39, January.
  21. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013.
  22. Hautsch, Nikolaus, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers 02/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
  23. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
  24. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao Jason, 2022. "Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  25. Ke, Mei-Chu & Jiang, Ching-Hai & Huang, Yen-Sheng, 2004. "The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 19-39, January.
  26. Garvey, Ryan & Wu, Fei, 2011. "Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 408-422, June.
  27. 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.
  28. Kee H. Chung & Choonsik Lee & Carl Hsin‐han Shen, 2020. "Passive blockholders, informational efficiency of prices, and firm value," Review of Financial Economics, John Wiley & Sons, vol. 38(3), pages 494-512, July.
  29. Emna Rouetbi & Chokri Mamoghli, 2014. "Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 920-929.
  30. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
  31. Giuliano Graziani & Barbara Rindi, 2023. "Optimal Tick Size," Working Papers 688, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  32. David Abad & Mikel Tapia, 2003. "Impacto Sobre El Mercado Bursatil Español De Los Cambios En Las Variaciones Mínimas De Precios Tras La Introducción Del Euro," Working Papers. Serie EC 2003-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  33. Bai, Min & Qin, Yafeng, 2014. "Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 98-122.
  34. Chung, Kee H. & Charoenwong, Charlie & Ding, David K., 2004. "Penny pricing and the components of spread and depth changes," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2981-3007, December.
  35. Khalil Dayri & Mathieu Rosenbaum, 2012. "Large tick assets: implicit spread and optimal tick size," Papers 1207.6325, arXiv.org, revised Jan 2013.
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