Chien, Cheng-Yi; Liao, Tzu-Hsiang; Lee, Hsiu-Chuan - In: Managerial Finance 40 (2014), pp. 218-233
Purpose - This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach - To estimate the information content of the order book, the modified information share...