IDEAS home Printed from https://ideas.repec.org/a/fip/fedhep/y2003iqivp2-12nv.27no.4.html
   My bibliography  Save this article

Decimalization and market liquidity

Author

Listed:
  • Craig Furfine

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.

Suggested Citation

  • Craig Furfine, 2003. "Decimalization and market liquidity," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 2-12.
  • Handle: RePEc:fip:fedhep:y:2003:i:qiv:p:2-12:n:v.27no.4
    as

    Download full text from publisher

    File URL: http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2003/4qeppart1.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    2. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    3. 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.
    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. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Liquidity (Economics) ; Stock market ; Stocks;

    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:fip:fedhep:y:2003:i:qiv:p:2-12:n:v.27no.4. 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: (Bernie Flores). General contact details of provider: http://edirc.repec.org/data/frbchus.html .

    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.