教師資料查詢 | 類別: 期刊論文 | 教師: 陳鴻崑 Hung-Kun Chen (瀏覽個人網頁)

標題:The Impacts of Tick Size Reduction in a Market with Multiple Tick Sizes
學年106
學期1
出版(發表)日期2017/09/30
作品名稱The Impacts of Tick Size Reduction in a Market with Multiple Tick Sizes
作品名稱(其他語言)
著者陳鴻崑(Hung-Kun Chen); 謝文良(Wen-Liang Gideon Hsieh)
單位
出版者
著錄名稱、卷期、頁數Review of Securities and Futures Markets (證券市場發展季刊), 29 (3), 3982
摘要We analyze the impact of tick size reduction on market quality, placing particular focus on whether a multiple tick rule helps to mitigate the impact of a tick rule size reduction in purely order-driven markets. Using a novel dataset covering an entire limit order book, our results suggest that the tick size reduction resulted in substantial declines in effective spread, quote depth, and market depth throughout the limit order book, whereas no significant effects on either trading volume or volatility are discernible. The multiple tick schedule does not eliminate divergence in the market quality for stocks in the same tick size group or across tick size groups. Within the same tick size group, spread and depth are reduced more for those stocks with lower prices, larger capitalization levels, and higher trading frequency. Across tick size groups, the impact of the tick size reduction is found to be stronger for groups where the original tick size was more of a binding constraint and for those groups which experienced a larger (relative) tick size reduction. Overall, our results suggest that a smaller tick size has reduced transaction costs for small trades yet impaired the provision of liquidity, particularly for large trades in high capitalization and more frequently-traded stocks. As a result, the net benefit of the new tick size schedule cannot be confirmed with certainty.
關鍵字Tick Size; Bid-ask Spread; Quote Depth; Entire Limit Order Book
語言英文
ISSN1023-280X
期刊性質國內
收錄於TSSCI;
產學合作
通訊作者陳鴻崑(Hung-Kun Chen)
審稿制度
國別中華民國
公開徵稿
出版型式,電子版,紙本
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