Gülay, Güzhan; Ersan, Yaşar - In: Borsa Istanbul Review 23 (2023) 5, pp. 1037-1057
We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in … Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy … with a novel limit order and trade book data with intraday calculations, we find evidence that the tick size reduction …