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Impacto Sobre El Mercado Bursatil Español De Los Cambios En Las Variaciones Mínimas De Precios Tras La Introducción Del Euro

  • David Abad


    (Universidad de Alicante)

  • Mikel Tapia

    (Universidad Carlos III de Madrid)

Registered author(s):

    This study analyses the repercussions of the existence of minimum price variations(ticks) to different market variables. Specifically, we focus on the behaviour of bid-askspread, market depth, trading activity, volatility and investor order submission strategies. Weuse the change which occurred to minimum price variations as a consequence of theintroduction of euro pricing on January 4th 1999. This event allows us to obtain a stocksample with a reduced tick size (MRED) and another whose tick increased slightly (AUM).The methodology used here is descriptive and focuses on the comparison of variablebehaviour under each minimum price variation. In general, the evidence obtained in this studyshows the important role of tick size as a cost of acquiring priority in the book and as thelowest limit of the bid-ask spread that can be quoted. The results obtained help us to a betterunderstanding of the trading process under discrete pricing and, although they do not answerthe important question about the existence of an optimal tick size, they indicate severaladvantages and disadvantages of different tick sizes. En este trabajo se examinan las repercusiones que el uso de variaciones mínimas de precios (ticks) tiene sobre distintas variables indicativas de la calidad del mercado español. En concreto, las variables analizadas han sido la horquilla de precios, la profundidad, el nivel de actividad, la volatilidad y la introducción de órdenes por parte de los agentes. Para ello, hemos aprovechado el cambio producido en los ticks de variación, dada la nueva cotización en euros a partir del 4 de Enero de 1999, lo que nos ha permitido obtener una muestra de activos cuya variación mínima se ha reducido (MRED) y otra cuyo tick ha sufrido un pequeño aumento (AUM). La metodología empleada es descriptiva y se basa en la comparación de las variables propuestas cuando los activos se negocian con una u otra variación mínima. En general, la evidencia obtenida supone un importante respaldo al doble papel jugado por el tick de variación como coste de adquirir prioridad a través del precio y como límite inferior de la horquilla que pueden ser cotizada en el mercado. Los diferentes resultados obtenidos nos ayudan a entender mejor el proceso de intercambio bajo precios discretos y aunque no se ofrecen todas las claves que permitan resolver la pregunta sobre la existencia de un tamaño óptimo del tick, sí que muestran algunas pistas sobre ciertas ventajas e inconvenientes que se derivan de la fijación de determinados tamaños.

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    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2003-17.

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    Length: 42 pages
    Date of creation: Oct 2003
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2003-17
    Contact details of provider: Postal: C/ Guardia Civil, 22, Esc 2a, 1o, E-46020 VALENCIA
    Phone: +34 96 319 00 50
    Fax: +34 96 319 00 55
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    1. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "The Role of Tick Size in Upstairs Trading and Downstairs Trading," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 393-417, October.
    2. 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.
    3. Bessembinder, Hendrik, 2000. "Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars," Journal of Financial Intermediation, Elsevier, vol. 9(3), pages 213-239, July.
    4. 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.
    5. Angel, James J, 1997. " Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-81, June.
    6. 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 1655-89, December.
    7. 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.
    8. Gonzalo Rubio & Mikel Tapia, 1996. "Adverse selection, volume and transactions around dividend announcements in a continuous auction system," European Financial Management, European Financial Management Association, vol. 2(1), pages 39-67.
    9. 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 149-78.
    10. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-95.
    11. Copeland, Thomas E & Galai, Dan, 1983. " Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 38(5), pages 1457-69, December.
    12. 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 103-50.
    13. Christie, William G & Schultz, Paul H, 1994. " Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1813-40, December.
    14. David C. Porter & Daniel G. Weaver, 1997. "Tick Size and Market Quality," Financial Management, Financial Management Association, vol. 26(4), Winter.
    15. Jones, C.M. & Lipson, M.L., 1999. "Sixteenths: Direct Evidence on Institutional Execution Costs," Papers 99-3, Columbia - Graduate School of Business.
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