Ness, Bonnie F Van; Ness, Robert A Van; Pruitt, Stephen W - In: Review of Quantitative Finance and Accounting 15 (2000) 2, pp. 153-67
This study presents an analysis of the impact of the introduction of quotes in sixteenths of a dollar on the AMEX, Nasdaq, and NYSE in mid-1997 on select market characteristics such as spreads, effective spreads, quoted depth, and volume. The findings of the study document reductions in the...