کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961727 | 929904 | 2006 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Hybrid markets, tick size and investor trading costs
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper shows how the tick size affects equilibrium outcomes in a hybrid stock market such as the NYSE that features both a specialist and a limit order book. Reducing the tick size facilitates the specialist's ability to step ahead of the limit order book, resulting in a reduction in the cumulative depth of the limit order book at prices above the minimum tick. If market demand is price-sensitive, and there are costs of limit order submission, the limit order book can be destroyed by tick sizes that are either too small or too large. We show that trading cost is minimized at larger tick sizes for larger market orders, creating an incentive to submit smaller orders when tick size is reduced. With a smaller tick size, specialist participation increases and specialist profit increases slightly for small market orders, and considerably for large market orders.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 9, Issue 4, November 2006, Pages 433-447
Journal: Journal of Financial Markets - Volume 9, Issue 4, November 2006, Pages 433-447
نویسندگان
Evgenia Portniaguina, Dan Bernhardt, Eric Hughson,