Timing of tick size reduction : threshold and smooth transition model analysis
Hiroyuki Maruyama, Tomoaki Tabata
Year of publication: |
2022
|
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Authors: | Maruyama, Hiroyuki ; Tabata, Tomoaki |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 45.2022, p. 1-8
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Subject: | Tick size reduction | Tokyo stock exchange | Liquidity | Trading volume | Threshold autoregressive model | Logistic smooth transition autoregressive model | Autokorrelation | Autocorrelation | Nichtlineare Regression | Nonlinear regression | Theorie | Theory | Japan | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Handelsvolumen der Börse | Schätzung | Estimation | Volatilität | Volatility | Liquidität |
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