Realized volatility, price informativeness, and tick size : a market microstructure approach
Xijuan Xiao, Ryuichi Yamamoto
| Year of publication: |
2024
|
|---|---|
| Authors: | Xiao, Xijuan ; Yamamoto, Ryuichi |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 89.2024, 1, p. 410-426
|
| Subject: | Microstructure noise | Price informativeness | Realized volatility | Stock split | Tick size reduction | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Aktiensplit | Börsenkurs | Share price | Geld-Brief-Spanne | Bid-ask spread | Finanzmarkt | Financial market | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.07.109 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014446466