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Tekijä: | Loistl, O. Schossman, B. Veverka, A. |
Otsikko: | Tick size and spreads: The case of Nasdaq's decimalization |
Lehti: | European Journal of Operational Research
2004 : JUN, VOL. 155:2, p. 317-334 |
Asiasana: | Capital markets Stock exchanges Share prices |
Kieli: | eng |
Tiivistelmä: | In this paper, the authors examine the impact of a variation in Nasdaq's minimum price increment on quoted spreads. The investigation covers the whole range from lower to higher priced stocks as well as various market climates. The findings confirm the numerical value of the decline in the average quoted spread in 1997 as an immediate effect of reducing the tick size from $1/8 to $1/16. |
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