English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49378/84106 (59%)
造訪人次 : 7362729      線上人數 : 60
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/111920


    題名: The Impacts of Tick Size Reduction in a Market with Multiple Tick Sizes
    作者: Chen), 陳鴻崑(Hung-Kun;Hsieh), 謝文良(Wen-Liang Gideon
    關鍵詞: Tick Size;Bid-ask Spread;Quote Depth;Entire Limit Order Book
    日期: 2017/09/30
    上傳時間: 2017-11-01 02:10:24 (UTC+8)
    出版者: 財團法人中華民國證券暨期貨市場發展基金會
    摘要: We analyze the impact of tick size reduction on market quality, placing particular focus on whether a multiple tick rule helps to mitigate the impact of a tick rule size reduction in purely order-driven markets. Using a novel dataset covering an entire limit order book, our results suggest that the tick size reduction resulted in substantial declines in effective spread, quote depth, and market depth throughout the limit order book, whereas no significant effects on either trading volume or volatility are discernible. The multiple tick schedule does not eliminate divergence in the market quality for stocks in the same tick size group or across tick size groups. Within the same tick size group, spread and depth are reduced more for those stocks with lower prices, larger capitalization levels, and higher trading frequency. Across tick size groups, the impact of the tick size reduction is found to be stronger for groups where the original tick size was more of a binding constraint and for those groups which experienced a larger (relative) tick size reduction. Overall, our results suggest that a smaller tick size has reduced transaction costs for small trades yet impaired the provision of liquidity, particularly for large trades in high capitalization and more frequently-traded stocks. As a result, the net benefit of the new tick size schedule cannot be confirmed with certainty.
    關聯: Review of Securities and Futures Markets (證券市場發展季刊), 29 (3), 39-82
    DOI: 10.6529/RSFM.2017.29(3).2
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML14檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋