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Volumn 25, Issue 7-8, 1998, Pages 849-867

The effect of tick size on price clustering and trading volume

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EID: 0006222962     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00216     Document Type: Article
Times cited : (35)

References (13)
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  • 3
    • 84993915181 scopus 로고
    • Why do NASDAQ market makers avoid oddeight quotes
    • Christie, W.G. and P.H. Schultz (1994), 'Why do NASDAQ Market Makers Avoid Odd-eight Quotes,' Journal of Finance, Vol.49, pp. 1813-1840
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    • Christie, W.G.1    Schultz, P.H.2
  • 4
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    • Brownian motion in the treasury bill futures market
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    • Dale, C.1
  • 5
    • 0030191752 scopus 로고    scopus 로고
    • Why NASDAQ market makers avoid odd-eight quotes
    • Godek, P.E. (1996), 'Why NASDAQ Market Makers Avoid Odd-eight Quotes,' Journal of Finanaal Economics, Vol.41, pp. 465-474
    • (1996) Journal of Finanaal Economics , vol.41 , pp. 465-474
    • Godek, P.E.1
  • 6
    • 0000621934 scopus 로고
    • Stock price clustering and discreteness
    • Harris, L. (1991), 'Stock Price Clustering and Discreteness, Review of Financial Studies, Vol.4, pp. 389-415.
    • (1991) Review of Financial Studies , vol.4 , pp. 389-415
    • Harris, L.1
  • 7
    • 21344483536 scopus 로고
    • Minimum price variations, discrete bid-ask spreads, and quotation sizes
    • - (1994), 'Minimum Price Variations, Discrete Bid-ask Spreads, and Quotation Sizes, Review of Financial Studies, Vol 7, pp. 149-178
    • (1994) Review of Financial Studies , vol.7 , pp. 149-178
  • 8
    • 0000562252 scopus 로고
    • Reducing tick size on the stock exchange of Singapore
    • Lau, S.T. and T.H. McInish (1995), 'Reducing Tick Size on the Stock Exchange of Singapore,' Pacific Basin Finance Journal, Vol.3, pp. 485-496
    • (1995) Pacific Basin Finance Journal , vol.3 , pp. 485-496
    • Lau, S.T.1    McInish, T.H.2
  • 9
    • 0001740145 scopus 로고
    • Clustering of stock prices
    • Niederhoffer, V. (1965), 'Clustering of Stock Prices,' Operations Research, Vol.13, pp. 258-265
    • (1965) Operations Research , vol.13 , pp. 258-265
    • Niederhoffer, V.1
  • 10
    • 0011669385 scopus 로고
    • A new look at clustering of stock prices
    • - (1966), 'A New Look at Clustering of Stock Prices,' Journal of Business, Vol.39, pp. 309-313
    • (1966) Journal of Business , vol.39 , pp. 309-313
  • 11
    • 0000661634 scopus 로고
    • Periodic structure in the brownian motion of stock prices
    • Osborne, M.F.M. (1962), 'Periodic Structure in the Brownian Motion of Stock Prices,' Operations Research, Vol.10, pp. 345-379
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    • Osborne, M.F.M.1
  • 12
    • 0002484781 scopus 로고
    • The extreme value method for estimating the variance of rate of return
    • Parkinson, M. (1980), 'The Extreme Value Method for Estimating the Variance of Rate of Return,' Journal of Business, Vol.53, pp. 61-65
    • (1980) Journal of Business , vol.53 , pp. 61-65
    • Parkinson, M.1
  • 13
    • 84993869166 scopus 로고
    • Commodity futures: Trends or random walks
    • Stevenson, R.A. and R.M. Beare (1970), 'Commodity Futures: Trends or Random Walks,' Journal of Finance, Vol.25, pp.65-81.
    • (1970) Journal of Finance , vol.25 , pp. 65-81
    • Stevenson, R.A.1    Beare, R.M.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.