Sixteenths: Direct evidence on institutional execution costs

Journal of Financial Economics

Volumn 59, Issue 2, 2001, Pages 253-278

  Jones, Charles M ^a   Lipson, Marc L ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b UNIVERSITY OF GEORGIA   (United States)

Author keywords

Decimalization; G14; G18; G24; Implementation costs; Minimum tick; Transaction costs

Indexed keywords

EID: 0003256425     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(00)00087-8     Document Type: Article

References (28)

1. Ahn H., Cao C., Choe H. Decimalization and competition among exchanges: evidence from the Toronto Stock Exchange cross-listed securities. Journal of Financial Markets. 1:1998;51-87.
2. Anshuman V., Kalay A. Market making with discrete prices. Review of Financial Studies. 11:1998;81-109.
3. Bacidore J. The impact of decimalization on market quality: an empirical investigation of the Toronto Stock Exchange. Journal of Financial Intermediation. 6:1997;92-120.
4. Barclay M., Christie W., Harris J., Kandel E., Schultz P. The effects of market reform on the trading costs and depths of Nasdaq stocks. Journal of Finance. 54:1999;1-34.
5. Bessembinder, H., 1997. Endogenous changes in the minimum tick: an analysis of Nasdaq securities trading near ten dollars. Unpublished working paper. Arizona State University, Tempe.
6. Bessembinder H., Kaufman H. A comparison of trade execution costs for NYSE and Nasdaq-listed stocks. Journal of Financial and Quantitative Analysis. 32:1997;287-310.
7. Bollen, N., Whaley, R., 1998. Are 'teenies' better? Journal of Portfolio Management, 25, January, 10-24.
8. Christie W., Huang R. Market structures and liquidity: a transactions data study of exchange listings. Journal of Financial Intermediation. 3:1994;300-326.
9. Conrad, J., Johnson, K., Wahal, S., 1997. Institutional trading and soft dollars. Unpublished working paper. University of North Carolina, Chapel Hill.
10. Economides N., Schwartz R. Equity trading practices and market structure: assessing asset managers' demands for immediacy. Financial Markets, Institutions, and Instruments. 4:1995;1-46.
11. Glosten, L., 1995. Competition and the set of allowable prices. Unpublished working paper. Columbia University, New York.
12. Goldstein, M., Kavajecz, K., 1999. Liquidity provision during circuit breakers and extreme market conditions. Unpublished working paper. University of Colorado, Boulder.
13. Goldstein, M., Kavajecz, K., 2000. Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE. Journal of Financial Economics, forthcoming.
14. Harris, L., 1990. Liquidity, trading rules, and electronic trading systems. New York University Salomon Center Monograph Series in Finance, Monograph #1990-4.
15. Harris, L. 1996. Does a large minimum price variation encourage order exposure? Unpublished working paper. University of Southern California, Los Angeles.
16. Harris, L., 1997. Decimalization: a review of the arguments and evidence. Unpublished working paper. University of Southern California, Los Angeles.
17. Harris L., Hasbrouck J. Market vs. limit orders: the SuperDot evidence on order submission strategy. Journal of Financial and Quantitative Analysis. 31:1996;213-231.
18. Huang R., Stoll H. Dealer versus auction markets: a paired comparison of execution costs on NASDAQ and the NYSE. Journal of Financial Economics. 41:1996;343-357.
19. Jones C., Lipson M. Execution costs of institutional equity orders. Journal of Financial Intermediation. 8:1999;123-140.
20. Keim D., Madhavan A. Anatomy of the trading process: empirical evidence on the behavior of institutional traders. Journal of Financial Economics. 37:1995;371-398.
21. Keim D., Madhavan A. Transactions costs and investment style: an inter-exchange analysis of institutional equity trades. Journal of Financial Economics. 46:1997;265-292.
22. Lipson, M., 1999. Stock splits, liquidity and limit orders. Working paper #99-04. New York Stock Exchange.
23. Plexus Group, 1996. Quality of trade execution in comparative spreads: AMEX vs. NASDAQ vs. NYSE. Plexus Group, Santa Monica CA.
24. Porter D., Weaver D. Decimalization and market quality. Financial Management. 26:1997;5-26.
25. Ricker, J., 1998. Breaking the eighth: sixteenths on the New York Stock Exchange. Unpublished working paper. San Francisco.
26. Ronen, T., Weaver, D., 1998. 'Teenies' anyone? Unpublished working paper. Baruch College, New York.
27. Seppi D. Liquidity provision with limit orders and a strategic specialist. Review of Financial Studies. 10:1997;103-150.
28. Sofianos, G., Werner, I., 1997. The trades of NYSE floor brokers," Working paper #97-04. New York Stock Exchange.