search query: @author Ness, R. Van / total: 2
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| Author: | Ness, B. Van Ness, R. Van Pruitt, S. |
| Title: | The impact of the reduction in tick increments in major US markets on spreads, depth, and volatility |
| Journal: | Review of Quantitative Finance and Accounting
2000 : SEP, VOL. 15:2, p. 153-168 |
| Index terms: | TRADE COSTS USA |
| Language: | eng |
| Abstract: | This study presents an analysis of the impact of the introduction of quotes in sixteenths of a dollar on the AMEX, Nasdaq, and NYSE in mid-1007 on select market characteristics such as spreads, effective spreads, quoted depth, and volume. The findings of the study document reductions in the bid-ask spread, effective spread, and a statistically significant increase in the number of quotes. Interestingly, the authors find that liquidity, as measured by the total depth at the bid and ask, declines significantly on the AMEX and NYSE, but increases on Nasdaq. |
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