We examine the impact of decimalization on the relative changes in trading costs, informed trading, and speed of information transmissions between Exchange Traded Funds (ETFs) and their corresponding index futures. The quotes of ETFs are decimalized on January 29, 2001, while those of index...

In this paper we use the quantile regression to analyze size and book-to-market effects on the conditional distribution of stock returns. In contrast with Knez and Ready (1997), the quantile regression can obtain more robust results without trimming informative extremes. We find that size and...

The relation between tick size and market quality is of interests to both academics and practitioners. The decimalization on the NYSE offers a rare opportunity to empirically examine the effects of tick size change on market quality. This paper performs a thorough study of the influences of tick...

After adopting Order Handling Rules in 1997, the Nasdaq Stock Market has become a hybrid market with both the quote-driven (market makers, the dealer market) and the order-driven (the Electronic Communication Networks, ECNs) trading systems. We study the Nasdaq stocks to empirically examine the...