Liquidity and quote clustering in a market with multiple tick sizes

Journal of Financial Research

Volumn 28, Issue 2, 2005, Pages 177-195

  Chung, Kee H ^a   Kim, Kenneth A ^a   Kitsabunnarat, Pattanaporn ^b  

^a UNIVERSITY AT BUFFALO   (United States)

^b TEXAS A AND M INTERNATIONAL UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 19944365057     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2005.00120.x     Document Type: Article

References (27)

1. Angel, J., 1997, Tick size, share prices, and stock splits, Journal of Finance 52, 655-81.
2. Ball, C., W. Torous, and A. Tschoegl, 1995, The degree of price resolution: The case of the gold market, Journal of Futures Markets 5, 29-43.
3. Barclay, M., 1997, Bid-ask spreads and the avoidance of odd-eighth quotes on NASDAQ: An examination of exchange listings, Journal of Financial Economics 45, 35-60.
4. Bekaert, G. and C. Harvey, 1997, Emerging equity market volatility, Journal of Financial Economics 43, 29-77.
5. Bessembinder, H., 1997, The degree of price resolution and equity trading costs, Journal of Financial Economics 45, 9-34.
6. Bessembinder, H., 2000, Tick size, spreads, and liquidity: An analysis of NASDAQ securities trading near ten dollars, Journal of Financial Intermediation 9, 213-39.
7. Chan, K. and C. Hwang, 2001, The impact of tick size on the quality of a pure order-driven market: Evidence from the Stock Exchange of Hong Kong, Working paper, Hong Kong University of Science and Technology.
8. Christie, W. and P. Schultz, 1994, Why do Nasdaq market makers avoid odd-eighth quotes? Journal of Finance, 49, 1813-40.
9. Chung, K. H. and C. Chuwonganant, 2004, Tick size, order handling rules, and trading costs, Financial Management 33, 47-62.
10. Chung, K. H. and C. Chuwonganant, and D. T. McCormick, 2004, Order preferencing and market quality on NASDAQ before and after decimalization, Journal of Financial Economics 71, 581-612.
11. Chung, K. H., B. Van Ness, and R. Van Ness, 1999, Limit orders and the bid-ask spread, Journal of Financial Economics 53, 255-87.
12. Chung, K. H., B. Van Ness, and R. Van Ness, 2001, Can the treatment of limit orders reconcile the difference in trading costs between NYSE and NASDAQ issues? Journal of Financial and Quantitative Analysis 36, 267-86.
13. Chung, K. H., B. Van Ness, and R. Van Ness, 2004, Trading costs and quote clustering on the NYSE and NASDAQ after decimalization, Journal of Financial Research 27, 309-28.
14. Copeland, T., 1979, Liquidity changes following stock splits, Journal of Finance 34, 115-41.
15. Goetzmann, W. and P. Jorion, 1999, Re-emerging markets, Journal of Financial and Quantitative Analysis 34, 1-32.
16. Grossman, S., M. Miller, D. Fischel, K. Cone, and D. Ross, 1997, Clustering and competition in dealer markets, Journal of Law and Economics 40, 23-60.
17. Harris, L., 1991, Stock price clustering and discreteness, Review of Financial Studies 4, 389-416.
18. Harris, L., 1994, Minimum price variations, discrete bid-ask spreads, and quotation sizes, Review of Financial Studies 1, 149-78.
19. Harris, L., 1996, Does a large minimum price variation encourage order display? Working paper, University of Southern California.
20. Huang, R. and H. Stoll, 1996, Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE, Journal of Financial Economics 41, 313-57.
21. Kandel, E. and L. Marx, 1997, NASDAQ market structure and spread patterns, Journal of Financial Economics 45, 61-90.
22. Rouwenhorst, K. G., 1999, Local return factors and turnover in emerging stock markets, Journal of Finance 54, 1439-64.
23. Schultz, P., 2000, Stock splits, tick size, and sponsorship, Journal of Finance 55, 429-50.
24. Stoll, H., 2000, Friction, Journal of Finance 55, 1479-1514.
25. Theil, H., 1971, Principles of Econometrics (Wiley, New York).
26. Van Ness, R., B. Van Ness, and S. Pruitt, 2000, The impact of the reduction in tick increments in major U.S. markets on spreads, depth, and volatility, Review of Quantitative Finance and Accounting 15, 153-67.
27. Weber, M., G. V. Karels, and J. R. Schmidt, 2002, Determining the significance of derived reduced form coefficients from simultaneous equations estimation, Working paper, University of Nebraska.