Tick sizes provide a market quality tradeoff between pricing fidelity and undercutting - suggesting that the same tick size change may affect narrow and wide-spread stocks differently. Using comprehensive depth-of-book data we study the imposition and conclusion of the Tick Size Pilot (TSP)...

The absence of liquidity in the stock market causes uneasiness in the market. Proper trading strategies are devised when liquidity is present making the magnitude of returns determinable. The study investigated stock market liquidity levels for the Zimbabwe Stock Exchange during the pre-Covid...

Based on SEC’s Tick Size Pilot Program, we hypothesize and find that the improved liquidity for large orders disproportionately reduces the execution cost of institutional investors and thus increases their ownership of the treated firms with a larger tick size during the pilot program. The...

Comonotone additivity for two price economy bid and ask prices motivates combining bid prices for call options with the ask prices for puts and the converse to construct two densities (termed lower and upper) reflected by these prices. The two densities scaled to a unit mean are here linked by...

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? We employ data from NYSE Euronext Paris to show that exogenous changes in contract design lead to significant decreases in quoted and effective spreads. In particular, market liquidity increases...