Endogenous Changes in the Minimum Tick: An Analysis of Nasdaq Securities Trading Near Ten Dollars
Preprint
- 1 January 1997
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This study evaluates changes in trade execution costs and liquidity for a set of 773 Nasdaq-listed stocks whose tick size changed as their share prices passed tKeywords
This publication has 12 references indexed in Scilit:
- Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securitiesJournal of Financial Markets, 1998
- Nasdaq market structure and spread patternsJournal of Financial Economics, 1997
- The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock ExchangeJournal of Financial Intermediation, 1997
- Tinkering with Ticks: Choosing Minimum Price Variation for US Equity Markets (1996 Version)SSRN Electronic Journal, 1997
- Tick Size, Spread, and VolumeJournal of Financial Intermediation, 1996
- Reducing tick size on the Stock Exchange of SingaporePacific-Basin Finance Journal, 1995
- Market Making, the Tick Size, and Payment-for-Order Flow: Theory and EvidenceThe Journal of Business, 1995
- Why do NASDAQ Market Makers Avoid Odd‐Eighth Quotes?The Journal of Finance, 1994
- Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation SizesThe Review of Financial Studies, 1994
- Inferring Trade Direction from Intraday DataThe Journal of Finance, 1991