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| Author: | Ronen, T. Weaver, D. G. |
| Title: | "Teenies" anyone? |
| Journal: | Journal of Financial Markets
2001 : JUN, VOL. 4:3, p. 231-260 |
| Index terms: | Microeconomics Market structure Volatility Stock exchanges USA |
| Freeterms: | Tick size Trader behaviour |
| Language: | eng |
| Abstract: | The authors use the American Stock Exchange's May 1997 market-wide adoption of $1/16 ticks to examine several hypotheses relating to tick size reduction. Specifically, they consider volatility, other aspects of market quality, trader behaviour, and specialist profits. The hypothesis that volatility is directly related to tick size supported by significant decreases in both daily and transitory volatility. |
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