Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program
- Title
- Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program
- Author
- 이알버트
- Keywords
- Liquidity; Tick size; Pilot program; Pricing efficiency; Liquidity spillover
- Issue Date
- 2020-06
- Publisher
- ELSEVIER SCIENCE SA
- Citation
- JOURNAL OF FINANCIAL ECONOMICS, v. 136, no. 3, page. 879-899
- Abstract
- Using limit order books across all US exchanges, we show that while liquidity for small orders (e.g., the quoted and effective spreads) decreases, liquidity for large orders (e.g., the cumulative depth and the price impact of multiple trades) improves after the implementation of the Tick Size Pilot Program. We find significant spillover effects on liquidity for small and large orders that extend beyond the top of the book. Finally, we show that the pilot program results in an improvement in pricing efficiency, an increase in trade size, and a decrease in the number of trades.
- URI
- https://www.sciencedirect.com/science/article/pii/S0304405X19302831?via%3Dihubhttps://repository.hanyang.ac.kr/handle/20.500.11754/175084
- ISSN
- 0304-405X
- DOI
- 10.1016/j.jfineco.2019.11.004
- Appears in Collections:
- COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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