Tick size, trading strategies and market quality

Ingrid Werner (The Ohio State University), Yuanji Wen (The University of Western Australia), Barbara Rindi (Bocconi University), Sabrina Buti (Université Paris-Dauphine)

We model a public limit order book (PLB) with rational investors choosing to supply or demand liquidity. Following a reduction in the tick size the effects on PLB's market quality depend on the liquidity of the stocks. Spread improves for tick-constrained stocks and deteriorates for unconstrained stocks; inside depth decreases in particular for constrained stocks, and volume increases for unconstrained stocks. The model also shows how results change when competition from a crossing network generates order flow migration. We find empirical support for these predictions by exploiting the 2014 reduction of tick size at the Tokyo Stock Exchange

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Year of publication:	[2019]
Authors:	Werner, Ingrid M. ; Wen, Yuanji ; Rindi, Barbara ; Buti, Sabrina
Publisher:	[Columbus, Ohio] : The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics
Subject:	Fiscal Policy \| Endogenous Growth Risk \| Asset Prices \| Endogenes Wachstumsmodell \| Endogenous growth model \| Finanzpolitik \| Fiscal policy \| Theorie \| Theory \| CAPM

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Extent:	1 Online-Ressource (circa 54 Seiten) Illustrationen
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2019, 3 Charles A. Dice Center Working Paper ; No. 2019-3 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2019-03, 03
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3330807 [DOI]
Classification:	G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General ; G24 - Investment Banking; Venture Capital; Brokerage ; D40 - Market Structure and Pricing. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012101820