کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083179 1477795 2017 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pseudo market-makers, market quality and the minimum tick size
ترجمه فارسی عنوان
سازندگان شبه بازار، کیفیت بازار و حداقل اندازه قلم
کلمات کلیدی
حداقل تیک، کیفیت بازار، تقسیم بیداری، سازندگان بازار،
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

This paper examines how a reduction in the minimum tick size affects the behaviour of pseudo market-makers and market quality. Consistent with prior findings, this study documents that bid-ask spreads and depth decline after a minimum tick size reduction; and the magnitude of tick size reduction influence the extent of the decrease. Empirical evidence from this research indicates that pseudo market-makers prefer lower-price stocks post-reduction, as the yield from quoting these spreads are higher. This is accompanied by a corresponding shift in trading activities, away from higher priced securities. Trading costs, measured using simulated market impact, decrease for large trades in the top price tier but increase otherwise.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 47, January 2017, Pages 88-100
نویسندگان
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