Tick Size Reduction and Order Submission Strategies on the Australian Stock Exchange

2009 ◽  
Author(s):  
Huu Nhan Duong ◽  
Petko S. Kalev ◽  
Troy O’Dwyer ◽  
Edwin D. Maberly
Keyword(s):  
Stock Exchange ◽  
Size Reduction ◽  
Tick Size

Tick Size Reduction and Order Submission Strategies on the Australian Stock Exchange

2010 ◽  
Author(s):  
Huu Nhan Duong ◽  
Petko S. Kalev ◽  
Edwin D. Maberly ◽  
Troy O'Dwyer
Keyword(s):  
Stock Exchange ◽  
Size Reduction ◽  
Tick Size

scholarly journals The Impact of the Tick Size Reduction on Liquidity: Empirical Evidence from the Jakarta Stock Exchange

2004 ◽  
Vol 6 (2) ◽  
pp. 225 ◽  
Author(s):  
Lukas Purwoto ◽  
Eduardus Tandelilin
Keyword(s):  
Stock Exchange ◽  
Size Reduction ◽  
Trading Activity ◽  
Tick Size ◽  
Market Depth ◽  
Bid Ask Spread ◽  
Daily Data ◽  
Activity Measures ◽  
The Difference ◽  
The Impact

On July 3, 2000, the Jakarta Stock Exchange (JSX) reduced its tick size from Rp25.00 to Rp5.00. This study examines the impact of the tick size reduction on the JSX bid-ask spread, market depth, and trading activity. Using daily data, this study finds that the rupiah spread, percentage spread, and depth decreased significantly. All of these findings are not surprising since they are consistent with previous studies conducted in several different markets.In contrast to previous studies, this study finds that the key variable in determining the difference in performance of JSX stocks following the tick size reduction is the price of the stock. Specifically, all the trading activity measures e.g. in the number of trades, share volume, and rupiah volume, increased for low-priced stocks. Conversely, trading activity decreased for high-priced stocks. The possible explanation is that absolute tick size Rp5.00 is too small in economic terms for JSX high-priced stocks, so those decrease the investors’ willingness to trade.

Does tick size influence price discovery? Evidence from the Toronto Stock Exchange

2002 ◽  
Vol 23 (1) ◽  
pp. 49-66 ◽  
Author(s):  
Marie-Claude Beaulieu ◽  
Shafiq K. Ebrahim ◽  
Ieuan G. Morgan
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Tick Size ◽  
Toronto Stock Exchange

scholarly journals Tick size change and liquidity provision on the Tokyo Stock Exchange

2007 ◽  
Vol 21 (2) ◽  
pp. 173-194 ◽  
Author(s):  
Hee-Joon Ahn ◽  
Jun Cai ◽  
Kalok Chan ◽  
Yasushi Hamao
Keyword(s):  
Stock Exchange ◽  
Size Change ◽  
Tick Size ◽  
Liquidity Provision ◽  
Tokyo Stock Exchange
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