Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 이알버트 | - |
dc.date.accessioned | 2022-10-06T04:57:15Z | - |
dc.date.available | 2022-10-06T04:57:15Z | - |
dc.date.issued | 2020-06 | - |
dc.identifier.citation | JOURNAL OF FINANCIAL ECONOMICS, v. 136, no. 3, page. 879-899 | en_US |
dc.identifier.issn | 0304-405X | en_US |
dc.identifier.uri | https://www.sciencedirect.com/science/article/pii/S0304405X19302831?via%3Dihub | en_US |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/175084 | - |
dc.description.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. | en_US |
dc.description.sponsorship | This work is supported in part by National Science Foundation ACI1541215. We thank OneMarket Data for the use of its OneTick software. We thank the editor (Bill Schwert) and an anonymous referee for many valuable comments and suggestions that greatly improved the paper. | en_US |
dc.language.iso | ko | en_US |
dc.publisher | ELSEVIER SCIENCE SA | en_US |
dc.subject | Liquidity; Tick size; Pilot program; Pricing efficiency; Liquidity spillover | en_US |
dc.title | Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program | en_US |
dc.type | Article | en_US |
dc.identifier.doi | 10.1016/j.jfineco.2019.11.004 | en_US |
dc.relation.journal | JOURNAL OF FINANCIAL ECONOMICS | - |
dc.contributor.googleauthor | Chung, Kee H. | - |
dc.contributor.googleauthor | Lee, Albert J. | - |
dc.contributor.googleauthor | Rosch, Dominik | - |
dc.relation.code | 2020058272 | - |
dc.sector.campus | S | - |
dc.sector.daehak | COLLEGE OF ECONOMICS AND FINANCE[S] | - |
dc.sector.department | SCHOOL OF ECONOMICS & FINANCE | - |
dc.identifier.pid | ajlee | - |
dc.identifier.orcid | https://orcid.org/0000-0002-8904-0417 | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.