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| Author: | Chakravarty, S. Ness, B.F. van Ness, R.A. van |
| Title: | The effect of decimalization on trade size and adverse selection costs |
| Journal: | Journal of Business Finance and Accounting
2005 : JUN/JUL, VOL 32:5-6, p. 1063-1081 |
| Index terms: | Stock markets Stock exchanges Securities Adverse selection Costs Trading USA |
| Language: | eng |
| Abstract: | This study examines adverse selection (hereafter as: adv-sel.) cost around NYSE decimalization (here as: dec-ion). Furthermore, analyzed is the relation btw. adv-sel. costs and trade size. A significant increase is found in the percentage adv-sel. cost and a reduction in dollar adv-sel. cost following complete dec-ion. on the NYSE. On estimating the adv-sel. components by trade size classes, a decline is found in dollar adv-sel. costs in trades of all sizes, with the strongest evidence coming from medium size trades (here as: sz-trds.), followed by small and large sz-trds. One implication of the findings is that there appears to be less stealth trading following complete dec-ion. and less institutional trading overall. |
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