scholarly journals Tick Size Reduction and Price Discovery in Option Markets: An Empirical Investigation

2011 ◽  
Author(s):  
Michal Czerwonko ◽  
Nabil Khoury ◽  
Stylianos Perrakis ◽  
Marko Savor
Keyword(s):  
Empirical Investigation ◽  
Price Discovery ◽  
Size Reduction ◽  
Tick Size ◽  
Option Markets

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

Price discovery, order submission, and tick size during preopen period

2020 ◽  
Vol 63 ◽  
pp. 101428
Author(s):  
Xijuan Xiao ◽  
Ryuichi Yamamoto
Keyword(s):  
Price Discovery ◽  
Tick Size

Impact of Tick-Size Reduction on the Market Liquidity — Evidence from the Emerging Order-Driven Market

2008 ◽  
Vol 11 (04) ◽  
pp. 591-616 ◽  
Author(s):  
Tzung-Yuan Hsieh ◽  
Shaung-Shii Chuang ◽  
Ching-Chung Lin
Keyword(s):  
Stock Market ◽  
Empirical Studies ◽  
Market Liquidity ◽  
Size Reduction ◽  
Trading Costs ◽  
Tick Size ◽  
Binding Constraints ◽  
One Year ◽  
Developed Nations ◽  
Order Driven Market

Empirical studies on the influence of tick-size reduction towards market liquidity have focused almost exclusively on quote-driven markets in developed nations, and generally their findings are based on time periods of less than one year. This work investigates the influence of tick-size reduction and the relaxations of binding-constraint probability on market liquidity in the Taiwanese stock market, an emerging order-driven market, starting on March 1, 2005. The empirical results show that the spread, depth, market liquidity, and binding-constraint probability all decrease following the tick-size reduction, especially for low-priced stocks. These results can be attributed to relaxation of binding constraints. Additionally, stocks that are frequently traded, have larger market capitalization, or have restrictive binding constraints, experience considerable declines in spread, depth, and market liquidity following tick-size reduction. Trading activity plays an important role in explaining changes in spread, depth, market liquidity, and binding constraints. Thus, tick-size reduction in the Taiwanese Stock Market can increase market efficiency and reduce the investors' trading costs.

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