English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88866/118573 (75%)
Visitors : 23557316      Online Users : 73
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72709
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72709


    Title: Decimalization and Market Quality
    Authors: 周冠男
    Chou, Robin K.;Lee, Wan-Chen
    Contributors: 財管系
    Keywords: Decimalization;Front-running;Market Quality;Tick Size
    Date: 2006-01
    Issue Date: 2015-01-08 18:01:31 (UTC+8)
    Abstract: The relation between tick size and market quality is of interests to both academics and practitioners. The decimalization on the NYSE offers a rare opportunity to empirically examine the effects of tick size change on market quality. This paper performs a thorough study of the influences of tick size change based on the first three pilot stocks and all the NYSE common stocks (the full samples). Our empirical results indicate that, consistent with the literature, both spreads and depth decline significantly after decimalization. Both decreases in spreads and depth suggest that traders whose trade size does not exceed the reduced depth will enjoy lower transaction costs after decimalization. However, the impact on large traders is unclear. This makes it difficult to determine whether the market quality is improved for all traders after decimalization. Our results show that volume per trade decreases significantly after decimalization, especially for stocks that are actively traded or traded with a larger order size. Such results demonstrate that, after decimalization, either small traders participate more frequently or there are more front-runners entering the market. To examine these conjectures, we examine the changes in degree of front-running surrounding decimalization, and show that the degree of front-running does increase, especially for higher-priced stocks. These evidences support that there are more front-runners entering the decimal pricing system. Furthermore, stocks with different characteristics have different reactions to decimalization. Our results lend support to multiple optimal tick sizes for stocks with different characteristics, instead of a uniform minimum tick size for all stocks.
    Relation: Advances in Quantitative Analysis of Finance and Accounting, 3, 175-194.
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    175194.pdf752KbAdobe PDF917View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback