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Rethinking Decimalization: The Impact of Increased Tick Sizes on Trading Activity and Volatility

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  • Blau, Benjamin
  • Whitby, Ryan

    (Mercury Publication)

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  • Blau, Benjamin & Whitby, Ryan, 2018. "Rethinking Decimalization: The Impact of Increased Tick Sizes on Trading Activity and Volatility," Working Papers 07740, George Mason University, Mercatus Center.
    • Handle: RePEc:ajw:wpaper:07740
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    References listed on IDEAS

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    1. Karl B. Diether & Kuan‐Hui Lee & Ingrid M. Werner, 2009. "It's SHO Time! Short‐Sale Price Tests and Market Quality," Journal of Finance, American Finance Association, vol. 64(1), pages 37-73, February.
    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. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    4. Robert Battalio & Paul Schultz, 2011. "Regulatory Uncertainty and Market Liquidity: The 2008 Short Sale Ban's Impact on Equity Option Markets," Journal of Finance, American Finance Association, vol. 66(6), pages 2013-2053, December.
    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. Bessembinder, Hendrik, 1997. "The degree of price resolution and equity trading costs," Journal of Financial Economics, Elsevier, vol. 45(1), pages 9-34, July.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Chung, Kee H. & Lee, Albert J. & Rösch, Dominik, 2020. "Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program," Journal of Financial Economics, Elsevier, vol. 136(3), pages 879-899.

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