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Tekijä: | Bourghelle, D. Declerck, F. |
Otsikko: | Why markets should not necessarily reduce the tick size |
Lehti: | Journal of Banking and Finance
2004 : FEB, VOL. 28:2, p. 373-398 |
Asiasana: | Stock markets Stock exchanges Liquidity France Europe |
Vapaa asiasana: | Tick size |
Kieli: | eng |
Tiivistelmä: | This paper studies the consequences of a tick size change on the Paris Bourse thus providing a natural experiment on an order-driven market. The change raised the tick size for some stocks and lowered it for other. In contrast with U.S. exchanges results, this generated neither a reduction in liquidity provision for large trades nor a change in the spread. Based on this paper and on U.S. results, it appears an increasing but convex relationship btw. the relative tick size and the relative spread. Thus, it implies that new pricing grid does not necessarily lead to change execution costs but it changes the level of transparency in the liquidity supply. |
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