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The price effects of liquidity shocks: A study of the SEC’s tick size experiment

Citations

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Cited by:

  1. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
  2. Breckenfelder, Johannes, 2024. "Competition among high-frequency traders and market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
  3. Jonathan Brogaard & Jing Pan, 2022. "Dark Pool Trading and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2625-2666.
  4. Ee, Mong Shan & Hasan, Iftekhar & Huang, He, 2022. "Stock liquidity and corporate labor investment," Journal of Corporate Finance, Elsevier, vol. 72(C).
  5. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
  6. 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).
  7. Wayne B. Thomas & Yiding Wang & Ling Zhang, 2024. "Algorithmic Trading and Forward‐Looking MD&A Disclosures," Journal of Accounting Research, Wiley Blackwell, vol. 62(4), pages 1533-1569, September.
  8. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
  9. Ole-Kristian Hope & Junhao Liu, 2023. "Does stock liquidity shape voluntary disclosure? Evidence from the SEC tick size pilot program," Review of Accounting Studies, Springer, vol. 28(4), pages 2233-2270, December.
  10. Halim, Edward & Riyanto, Yohanes E. & Roy, Nilanjan & Wang, Yan, 2022. "The Bright Side of Dark Markets: Experiments," MPRA Paper 111803, University Library of Munich, Germany.
  11. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
  12. Albuquerque, Rui & Costa, José & Faias, Jose, 2022. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," CEPR Discussion Papers 17095, C.E.P.R. Discussion Papers.
  13. Li, Xiongshi & Ye, Mao & Zheng, Miles, 2024. "Price ceilings, market structure, and payout policies," Journal of Financial Economics, Elsevier, vol. 155(C).
  14. Li, Dan & Xia, Ying, 2021. "Gauging the effects of stock liquidity on earnings management: Evidence from the SEC tick size pilot test," Journal of Corporate Finance, Elsevier, vol. 67(C).
  15. Giuliano Graziani & Barbara Rindi, 2023. "Optimal Tick Size," Working Papers 688, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  16. Millar, Melanie I. & White, Roger M., 2024. "Do residential property assessed clean energy (PACE) financing programs affect local house price growth?," Journal of Environmental Economics and Management, Elsevier, vol. 124(C).
  17. Qin Zhang & Jin Boon Wong, 2023. "The influence of oil price uncertainty on stock liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 141-167, February.
  18. Su, Lixin (Nancy) & Wong, Sonia Man-Lai & Xue, Yuan & Zhao, Xiaofeng, 2025. "Do short-sale constraints inhibit information acquisition? Evidence from regulation SHO," Journal of Financial Markets, Elsevier, vol. 72(C).
  19. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2022. "High-frequency trading in the stock market and the costs of option market making," LSE Research Online Documents on Economics 118885, London School of Economics and Political Science, LSE Library.
  20. Kee H. Chung & Chairat Chuwonganant, 2023. "Tick size and price efficiency: Further evidence from the Tick Size Pilot Program," Financial Management, Financial Management Association International, vol. 52(3), pages 483-511, September.
  21. Zhenhua Chen & Adrienna Huffman & Gans Narayanamoorthy & Ruizhong Zhang, 2021. "Minimum tick size and analyst coverage: Evidence from the Tick Size Pilot Program," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(3-4), pages 666-691, March.
  22. Brown, Nerissa C. & Elliott, W. Brooke & Wermers, Russ & White, Roger M., 2021. "News or noise: Mobile internet technology and stock market activity," CFR Working Papers 21-10, University of Cologne, Centre for Financial Research (CFR).
  23. Deng, Mengdie & Lin, Tse-Chun & Zhou, Jiayu, 2024. "Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program," Journal of Financial Markets, Elsevier, vol. 67(C).
  24. Jungjun Choi & Ming Yuan, 2023. "Matrix Completion When Missing Is Not at Random and Its Applications in Causal Panel Data Models," Papers 2308.02364, arXiv.org.
  25. Barardehi, Yashar H. & Bernhardt, Dan & Da, Zhi & Mitch Warachka, Mitch, 2022. "Institutional Liquidity Demand and the Internalization of Retail Order Flow : The Tail Does Not Wag the Dog," The Warwick Economics Research Paper Series (TWERPS) 1394, University of Warwick, Department of Economics.
  26. Qin Zhang & Jin Boon Wong, 2022. "Do oil shocks impact stock liquidity?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 472-491, March.
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