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| Tekijä: | Goldstein, M.A. Kavajecz, K.A. |
| Otsikko: | Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE |
| Lehti: | Journal of Financial Economics
2000 : APR, VOL. 56:1, p. 125-149 |
| Asiasana: | Stock markets USA |
| Vapaa asiasana: | Liquidity provision Tick size |
| Kieli: | eng |
| Tiivistelmä: | Using limit order data provided by the NYSE, this paper investigates the impact of reducing the minimum tick size on the liquidity of the market. While both spreads and depths declined after the NYSE's change from eighths to sixteenths, depth declined throughout the entire limit order book as well. The combined effect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better off. However, traders who submitted larger orders in lower volume stocks did not benefit, especially if those stocks were low priced. |
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