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The Impact of the Reduction in Tick Increments in Major U.S. Markets on Spreads, Depth, and Volatility
15 references·9 citing·40 second hop
The Impact of the Reduction in Tick Increments in Major U.S. Markets on Spreads, Depth, and Volatility (2000)The Impact of the Reduction in Tick Incre…Tick Size, Bid-Ask Spreads, and Market Structure (2001)Tick Size, Bid-Ask Spreads, a…Sixteenths: direct evidence on institutional execution costs (2001)Sixteenths: direct evidence o…Order handling rules, tick size, and the intraday pattern of bid–ask spreads for Nasdaq stocks (2001)Order handling rules, tick si…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)Trade Execution Costs on NASD…Tick Size and Market Quality (1997)Tick Size and Market QualityThe Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange (1997)The Impact of Decimalization …The degree of price resolution and equity trading costs (1997)The degree of price resolutio…Decimalization: A Review of the Arguments and Evidence (1997)Decimalization: A Review of t…Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings (1997)Bid-ask spreads and the avoid…Why Nasdaq market makers avoid odd-eighth quotes (1996)Why Nasdaq market makers avoi…Tick Size, Spread, and Volume (1996)Tick Size, Spread, and VolumeReducing tick size on the Stock Exchange of Singapore (1995)Reducing tick size on the Sto…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Measuring institutional trading costs and the implications for finance research: The case of tick size reductions (2020)Measuring institutional tradi…Who, if anyone, reacts to accrual information? (2011)Who, if anyone, reacts to acc…A market-clearing role for inefficiency on a limit order book (2008)A market-clearing role for in…A Market-Clearing Role for Inefficiency on a Limit Order Book (2006)A Market-Clearing Role for In…Tick size change and liquidity provision on the Tokyo Stock Exchange (2005)Tick size change and liquidit…LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZES (2005)LIQUIDITY AND QUOTE CLUSTERIN…Why markets should not necessarily reduce the tick size (2003)Why markets should not necess…The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange (2003)The impact of tick size on in…Tick size and quote revisions on the NYSE (2002)Tick size and quote revisions…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Presidential Address: Friction (2000)Why Did NASDAQ Market Makers Stop Avoiding Odd‐Eighth Quotes? (1994)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities (1998)Preferencing, Internalization, Best Execution, and Dealer Profits (1999)The impact of ESG disclosures and institutional ownership on market information asymmetry (2016)Asset pricing and the bid-ask spread (1986)Liquidity and Market Structure (1988)Inferring Trade Direction from Intraday Data (1991)Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars (2000)Evaluation of the biases in execution cost estimation using trade and quote data (2003)Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange (2003)Estimating the components of the bid/ask spread (1988)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Does a Large Minimum Price Variation Encourage Order Exposure (1996)The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse (2006)The price effects of liquidity shocks: A study of the SEC’s tick size experiment (2020)The Dynamics of Dealer Markets Under Competition (1983)Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings (2002)The Impact of Dark Trading and Visible Fragmentation on Market Quality (2011)Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Corporate Governance and Liquidity (2010)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)How Well Do Adverse Selection Components Measure Adverse Selection? (2001)Private Equity Performance and Liquidity Risk (2012)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks (2002)Dimensions of execution quality: Recent evidence for US equity markets (2005)An analysis of trade-size clustering and its relation to stealth trading☆ (2007)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Equilibrium in a Dynamic Limit Order Market (2005)The Diversity of High Frequency Traders (2012)Modeling the bid/ask spread: measuring the inventory-holding premium (2003)The Empirical Analysis of Liquidity (2014)
this work references cited by second hop

References

  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 2001Sixteenths: direct evidence on institutional execution costs279 cited
  • 1999Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison263 cited
  • 1997The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange221 cited
  • 1996Tick Size, Spread, and Volume161 cited
  • 1997Bid-ask spreads and the avoidance of odd-eighth quotes on Nasdaq: An examination of exchange listings128 cited
  • 2001Tick Size, Bid-Ask Spreads, and Market Structure114 cited
  • 1997Tick Size and Market Quality106 cited
  • 1997Decimalization: A Review of the Arguments and Evidence99 cited
  • 1996Why Nasdaq market makers avoid odd-eighth quotes87 cited
  • 1997The degree of price resolution and equity trading costs79 cited
  • 1995Reducing tick size on the Stock Exchange of Singapore65 cited
  • 2001Order handling rules, tick size, and the intraday pattern of bid–ask spreads for Nasdaq stocks

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63 cited

Cited by

  • 2011Who, if anyone, reacts to accrual information?56 cited
  • 2005Tick size change and liquidity provision on the Tokyo Stock Exchange53 cited
  • 2003Why markets should not necessarily reduce the tick size51 cited
  • 2005LIQUIDITY AND QUOTE CLUSTERING IN A MARKET WITH MULTIPLE TICK SIZES39 cited
  • 2020Measuring institutional trading costs and the implications for finance research: The case of tick size reductions36 cited
  • 2008A market-clearing role for inefficiency on a limit order book34 cited
  • 2003The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange33 cited
  • 2002Tick size and quote revisions on the NYSE28 cited
  • 2006A Market-Clearing Role for Inefficiency on a Limit Order Book23 cited