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), 39－82
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 en
ISSN 1023-280X
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 否
國別 TWN
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/111920 )