IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v28y2004i2p373-398.html
   My bibliography  Save this article

Why markets should not necessarily reduce the tick size

Author

Listed:
  • Bourghelle, David
  • Declerck, Fany

Abstract

No abstract is available for this item.

Suggested Citation

  • Bourghelle, David & Declerck, Fany, 2004. "Why markets should not necessarily reduce the tick size," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 373-398, February.
  • Handle: RePEc:eee:jbfina:v:28:y:2004:i:2:p:373-398
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(03)00136-5
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cordella, Tito & Foucault, Thierry, 1999. "Minimum Price Variations, Time Priority, and Quote Dynamics," Journal of Financial Intermediation, Elsevier, vol. 8(3), pages 141-173, July.
    2. Tarun Chordia, 2001. "Market Liquidity and Trading Activity," Journal of Finance, American Finance Association, vol. 56(2), pages 501-530, April.
    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    4. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-150.
    5. 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.
    6. Ian Domowitz & Jack Glen & Ananth Madhavan, 1998. "International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market," Journal of Finance, American Finance Association, vol. 53(6), pages 2001-2027, December.
    7. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    8. Angel, James J, 1997. " Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-681, June.
    9. Stephen R Foerster & G Andrew Karolyi, 1993. "International Listings of Stocks: The Case of Canada and the U.S," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 24(4), pages 763-784, December.
    10. Easley, David & O'Hara, Maureen & Saar, Gideon, 2001. "How Stock Splits Affect Trading: A Microstructure Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(01), pages 25-51, March.
    11. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    12. Harris, Lawrence E, 1994. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 149-178.
    13. Lau, Sie Ting & McInish, Thomas H., 1995. "Reducing tick size on the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 485-496, December.
    14. Kumar Venkataraman, 2001. "Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges," Journal of Finance, American Finance Association, vol. 56(4), pages 1445-1485, August.
    15. Jones, Charles M. & Lipson, Marc L., 2001. "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, vol. 59(2), pages 253-278, February.
    16. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December.
    17. Foerster, Stephen R. & Karolyi, G. Andrew, 1998. "Multimarket trading and liquidity: a transaction data analysis of Canada-US interlistings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 393-412, December.
    18. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    19. Van Ness, Bonnie F & Van Ness, Robert A & Pruitt, Stephen W, 2000. "The Impact of the Reduction in Tick Increments in Major U.S. Markets on Spreads, Depth, and Volatility," Review of Quantitative Finance and Accounting, Springer, vol. 15(2), pages 153-167, September.
    20. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 389-415.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M., 2013. "Tick Size Regulation and Sub-Penny Trading," Working Paper Series 2013-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    2. repec:eee:jbfina:v:85:y:2017:i:c:p:69-82 is not listed on IDEAS
    3. repec:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2 is not listed on IDEAS
    4. 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.
    5. 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 May 2016.
    6. Ghassan Omet, 2011. "Stock Market Liquidity: Comparative Analysis of The Abu Dhabi Stock Exchange and Dubai Financial Market," Working Papers 655, Economic Research Forum, revised 12 Jan 2011.
    7. 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, january-d.
    8. Pantisa Pavabutr & Sukanya Prangwattananon, 2009. "Tick size change on the Stock Exchange of Thailand," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 351-371, May.
    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. Tapia Torres, Miguel Ángel & Moreno Muñoz, Jesús David & Gil Bazo, Javier, 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.
    11. Juan Raposo, 2003. "Les stratégies de placement d'ordres : le cas des ordres à quantité cachée," Post-Print halshs-00163255, HAL.
    12. Rui Ma & Hamish D. Anderson & Ben R. Marshall, 2016. "International stock market liquidity: a review," Managerial Finance, Emerald Group Publishing, vol. 42(2), pages 118-135, February.
    13. Khalil Dayri & Mathieu Rosenbaum, 2012. "Large tick assets: implicit spread and optimal tick size," Papers 1207.6325, arXiv.org, revised Jan 2013.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:28:y:2004:i:2:p:373-398. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.