Tick Size Pilot Program and the Information Structure of US Stock Markets

2019 ◽  
Author(s):  
Bidisha Chakrabarty ◽  
Justin Cox ◽  
James Upson
Keyword(s):  
Stock Markets ◽  
Information Structure ◽  
Pilot Program ◽  
Tick Size

Tick Size Pilot Program and price discovery in U.S. stock markets

2021 ◽  
pp. 100658
Author(s):  
Bidisha Chakrabarty ◽  
Justin Cox ◽  
James E. Upson
Keyword(s):  
Stock Markets ◽  
Price Discovery ◽  
Pilot Program ◽  
Tick Size

Dark Pool Trading and Information Acquisition

2021 ◽  
Author(s):  
Jonathan Brogaard ◽  
Jing Pan
Keyword(s):  
Information Acquisition ◽  
Stock Price ◽  
Earnings Announcements ◽  
Algorithmic Trading ◽  
Price Dynamics ◽  
Pilot Program ◽  
Informational Efficiency ◽  
Tick Size ◽  
Dark Pool ◽  
Dark Pools

Abstract Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure information acquisition using stock price dynamics around earnings announcements. To overcome endogeneity concerns, we exploit a large exogenous decrease to dark pool trading that results from the implementation of the Security and Exchange Commission’s (SEC’s) Tick Size Pilot Program. The results cannot be explained by lit venue liquidity, algorithmic trading, or informational efficiency. A battery of additional tests, such as documenting a shift in SEC EDGAR searches, supports the information acquisition interpretation.

Minimum tick size and analyst coverage: Evidence from the Tick Size Pilot Program

2020 ◽  
Author(s):  
Zhenhua Chen ◽  
Adrienna Huffman ◽  
Gans Narayanamoorthy ◽  
Ruizhong Zhang
Keyword(s):  
Pilot Program ◽  
Tick Size ◽  
Analyst Coverage

The Effect of Tick Size on Trading Volume Share in Two Competing Stock Markets

2017 ◽  
Vol 86 (1) ◽  
pp. 014801 ◽  
Author(s):  
Shota Nagumo ◽  
Takashi Shimada ◽  
Naoki Yoshioka ◽  
Nobuyasu Ito
Keyword(s):  
Stock Markets ◽  
Trading Volume ◽  
Tick Size
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